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FRB Atlanta Working Paper
A Gibbs simulator for restricted VAR models
Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an SUR type, and thus our method can be implemented cheaply even for large systems of multiple equations.
Cite this item
Daniel F. Waggoner & Tao Zha, A Gibbs simulator for restricted VAR models, Federal Reserve Bank of Atlanta, FRB Atlanta Working Paper 2000-3, 2000.
Keywords: Econometric models ; Vector autoregression ; Monetary policy ; Time-series analysis
This item with handle RePEc:fip:fedawp:2000-3
is also listed on EconPapers
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