Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
نویسندگان
چکیده
منابع مشابه
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as timevarying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus, over-parameterization problems may arise. Bayesian methods have become increasingly popular as a way o...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1514412