Economic quarterly - Federal Reserve Bank of Richmond · 2016 · 83 citations · 18 references
Social SciencesEconomicsEconometricsMacroeconomicsTime Series AnalysisBayesian EconometricsCointegration AnalysisTime Series EconometricsTime Series ForecastingTime Series ModelingVolatility ModelingAutoregressive ModelsBayesian Autoregressive ModelsBayesian Dynamic ModelsGeneralized Autoregressive Conditional Heteroskedasticity ModelsGibbs SamplingTime-varying ParametersVector AutoregressionVector Autoregressive Models
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.
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