BVAR models in the context of cointegration: a Monte Carlo experiment
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Summary
A Monte Carlo experiment is conducted to assess the small sample performance of two classical and two Bayesian estimation methods commonly applied to VAR models and shows that the Minnesota-type prior with hyperparameter search performs well, suggesting that the prevalent suspicion about the inability of this prior to capture longrun patterns is not well-grounded.
- Type
- article
- Published
- 1994-01-01
- Cited by
- 10
- References
- 68
- OpenAlex
- https://openalex.org/W1505618850
- Semantic Scholar
- https://api.semanticscholar.org/CorpusID:153116699
Keywords
Monte Carlo method, Bayesian probability, Bivariate analysis, Bayesian vector autoregression, Context (archaeology)
References
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- Co-Integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
- Comment on 'To Criticize the Critics,' by Peter C. B. Phillips
- Empirical analysis of macroeconomic time series : VAR and structural models
- Specifying vector autoregressions for macroeconomic forecasting
- Macroeconomic modelling of the long run
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Functions of the Banco de España: an historical perspective
- Volatility transmission along the money market yield curve
- Bayesian Routes and Unit Roots: de rebus prioribus semper est disputandum
- Bayesian skepticism on unit root econometrics
- Understanding unit rooters: a helicopter tour
- Comparisons of tests for multivariate cointegration
Cited by
- Una aplicación de los modelos BVAR estacionales.
- Forecasting with Bayesian Global Vector Autoregressive Models: A Comparison of Priors
- Durable consumption and house purchases: evidence from Spanish panel data
- Short-term analysis of macroeconomic time series
- Is Exchange Rate Risk Higher in the E.R.M. after the Widening of Fluctuation Bands
- Is the ALP Long-Run Demand Function Stable?
- A BVAR Analysis on Channels of Monetary Policy Transmission in Brazil
- Strategy an tactics of monetary policy: examples from Europe and the Antipodes
- Forecasting the U.S. House Prices Bottom: A Bayesian FA-VAR Approach
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