时变参数向量自回归:规范，估计和应用

ERN: Time-Series Models (Single) (Topic) Pub Date : 2016-09-01 DOI:10.21144/eq1010403

T. Lubik, C. Matthes

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引用次数: 43

摘要

时变参数向量自回归(tvp -var)已成为研究宏观经济时间序列动态的常用工具。在本文中，我们讨论了这类模型的规范和评估，重点是可实现性。我们为有兴趣在自己的研究中使用这种方法的研究人员提供了一步一步的指南。具体来说，我们讨论了如何使用贝叶斯吉布斯采样技术来轻松地进行推理。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application

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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ERN: Time-Series Models (Single) (Topic)

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