Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Richmond
Economic Quarterly
Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application
Thomas A. Lubik
Christian Matthes
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.


Download Full text
Cite this item
Thomas A. Lubik & Christian Matthes, "Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application" , Federal Reserve Bank of Richmond, Economic Quarterly, issue 4Q, pages 323-352, 2015.
More from this series
JEL Classification:
Subject headings:
DOI: 10.21144/eq1010403
For corrections, contact Christian Pascasio ()
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