Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Atlanta
FRB Atlanta Working Paper
A Gibbs simulator for restricted VAR models
Daniel F. Waggoner
Tao Zha
Abstract

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.


Download Full text
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.
More from this series
JEL Classification:
Subject headings:
Keywords: Econometric models ; Vector autoregression ; Monetary policy ; Time-series analysis
For corrections, contact Elaine Clokey ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal