bvarsv

bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation of the model proposed by Primiceri (”Time Varying Structural Vector Autoregressions and Monetary Policy”, Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.


References in zbMATH (referenced in 30 articles , 1 standard article )

Showing results 1 to 20 of 30.
Sorted by year (citations)

1 2 next

  1. Kalli, Maria; Griffin, Jim E.: Bayesian nonparametric vector autoregressive models (2018)
  2. Diebold, Francis X.; Schorfheide, Frank; Shin, Minchul: Real-time forecast evaluation of DSGE models with stochastic volatility (2017)
  3. Huber, Florian; Krisztin, Tamás; Piribauer, Philipp: Forecasting global equity indices using large Bayesian VARs (2017)
  4. Bianchi, Francesco: Methods for measuring expectations and uncertainty in Markov-switching models (2016)
  5. Bianchi, Francesco; Melosi, Leonardo: Modeling the evolution of expectations and uncertainty in general equilibrium (2016)
  6. Chan, Joshua C.C.; Eisenstat, Eric; Koop, Gary: Large Bayesian varmas (2016)
  7. Zareifard, Hamid; Rue, Håvard; Khaledi, Majid Jafari; Lindgren, Finn: A skew Gaussian decomposable graphical model (2016)
  8. Kalli, Maria; Griffin, Jim E.: Time-varying sparsity in dynamic regression models (2014)
  9. Kim, Dukpa: Maximum likelihood estimation for vector autoregressions with multivariate stochastic volatility (2014)
  10. Bikbov, Ruslan; Chernov, Mikhail: Monetary policy regimes and the term structure of interest rates (2013)
  11. Chan, Joshua C.C.: Moving average stochastic volatility models with application to inflation forecast (2013)
  12. Fuentes-Albero, Cristina; Melosi, Leonardo: Methods for computing marginal data densities from the Gibbs output (2013)
  13. Koop, Gary; Korobilis, Dimitris: Large time-varying parameter VARs (2013)
  14. Valentini, Pasquale; Ippoliti, Luigi; Fontanella, Lara: Modeling US housing prices by spatial dynamic structural equation models (2013)
  15. Rondina, Francesca: The role of model uncertainty and learning in the US postwar policy response to oil prices (2012)
  16. Amisano, Gianni; Tristani, Oreste: Exact likelihood computation for nonlinear DSGE models with heteroskedastic innovations (2011)
  17. Farmer, Roger E.A.; Waggoner, Daniel F.; Zha, Tao: Minimal state variable solutions to Markov-switching rational expectations models (2011)
  18. Kim, Yunmi; Kim, Chang-Jin: Dealing with endogeneity in a time-varying parameter model: joint estimation and two-step estimation procedures (2011)
  19. Koop, Gary; Potter, Simon M.: Time varying VARs with inequality restrictions (2011)
  20. Andreasen, Martin M.: Stochastic volatility and DSGE models (2010)

1 2 next