Journal Article
Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application
Abstract: Time-varying parameter vector autoregressions (TVP-VARs) have become a popular tool to study the dynamics of macroeconomic time series. In this article, we discuss the specification and estimation of this class of models with a focus on implementability. We provide a step-by-step guide for researchers interested in utilizing this methodology in their own research. Specifically, we discuss how to use Bayesian Gibbs-sampling techniques to easily conduct inference.
https://doi.org/10.21144/eq1010403
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https://www.richmondfed.org/-/media/richmondfedorg/publications/research/economic_quarterly/2015/q4/pdf/lubik.pdf
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Bibliographic Information
Provider: Federal Reserve Bank of Richmond
Part of Series: Economic Quarterly
Publication Date: 2015
Issue: 4Q
Pages: 323-352