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 110 articles , 1 standard article )

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  1. Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana: Dynamic probabilistic forecasting with uncertainty (2021)
  2. Bianchi, Daniele: Adaptive expectations and commodity risk premiums (2021)
  3. Bruns, Martin: Proxy vector autoregressions in a data-rich environment (2021)
  4. Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano: Using time-varying volatility for identification in vector autoregressions: an application to endogenous uncertainty (2021)
  5. Chen, Zhengyang; Valcarcel, Victor J.: Monetary transmission in money markets: the not-so-elusive missing piece of the puzzle (2021)
  6. Eckert, Florian; Hyndman, Rob J.; Panagiotelis, Anastasios: Forecasting Swiss exports using Bayesian forecast reconciliation (2021)
  7. Ellington, Michael; Martin, Chris; Wang, Bingsong: Search frictions and evolving labour market dynamics (2021)
  8. Funashima, Yoshito: Time-frequency regression (2021)
  9. Giraitis, Liudas; Kapetanios, George; Marcellino, Massimiliano: Time-varying instrumental variable estimation (2021)
  10. Haque, Qazi; Magnusson, Leandro M.: Uncertainty shocks and inflation dynamics in the U.S. (2021)
  11. Kuschnig, N., Vashold, L.: BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R (2021) not zbMATH
  12. Liu, Xiaochun: On fiscal and monetary policy-induced macroeconomic volatility dynamics (2021)
  13. Marfatia, Hardik A.: Modeling house price synchronization across the U.S. states and their time-varying macroeconomic linkages (2021)
  14. Nakajima, Jouchi: Estimation of multivariate stochastic volatility model with skew-(t) distribution (2021)
  15. Niu, Xiaojian; Niu, Xiaoli; Wu, Kexing: Implicit government guarantees and the externality of portfolio diversification: a complex network approach (2021)
  16. Prüser, Jan: The horseshoe prior for time-varying parameter VARs and monetary policy (2021)
  17. Rockova, Veronika; McAlinn, Kenichiro: Dynamic variable selection with spike-and-slab process priors (2021)
  18. Yousuf, Kashif; Ng, Serena: Boosting high dimensional predictive regressions with time varying parameters (2021)
  19. Albuquerque, Bruno; Iseringhausen, Martin; Opitz, Frederic: Monetary policy and US housing expansions: the case of time-varying supply elasticities (2020)
  20. Ankargren, Sebastian; Unosson, Måns; Yang, Yukai: A flexible mixed-frequency vector autoregression with a steady-state prior (2020)

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