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引用次数: 0
摘要
摘要冲击宏观经济模型(如向量自回归(VAR))的冲击有可能是非高斯的,表现出不对称和肥尾。基于这一考虑,本文开发了使用德里克利特过程混合物(DPM)对还原形式冲击进行建模的 VAR。然而,我们并没有采用简单地用 DPM 对 VAR 误差建模的明显策略,因为这将导致在较大的 VAR 中贝叶斯推理计算上的不可行性,并可能对 VAR 中变量排序方式产生敏感性。相反,我们受面板数据模型中随机效应的贝叶斯非参数处理方法的启发,开发了一种特殊的加法误差结构。我们的研究表明,这种模型可以在具有非参数冲击的大型 VAR 中实现快速计算和阶次不变的推断。我们对不同维度的非参数 VAR 的实证结果表明,对 VAR 误差的非参数处理往往能提高预测准确性,并可用于分析美国货币政策不断变化的传导。
Fast and order-invariant inference in Bayesian VARs with nonparametric shocks
The shocks that hit macroeconomic models such as Vector Autoregressions (VARs) have the potential to be non-Gaussian, exhibiting asymmetries and fat tails. This consideration motivates the VAR developed in this paper that uses a Dirichlet process mixture (DPM) to model the reduced-form shocks. However, we do not follow the obvious strategy of simply modeling the VAR errors with a DPM as this would lead to computationally infeasible Bayesian inference in larger VARs and potentially a sensitivity to the way the variables are ordered in the VAR. Instead, we develop a particular additive error structure inspired by Bayesian nonparametric treatments of random effects in panel data models. We show that this leads to a model that allows for computationally fast and order-invariant inference in large VARs with nonparametric shocks. Our empirical results with nonparametric VARs of various dimensions show that nonparametric treatment of the VAR errors often improves forecast accuracy and can be used to analyze the changing transmission of US monetary policy.
期刊介绍:
The Journal of Applied Econometrics is an international journal published bi-monthly, plus 1 additional issue (total 7 issues). It aims to publish articles of high quality dealing with the application of existing as well as new econometric techniques to a wide variety of problems in economics and related subjects, covering topics in measurement, estimation, testing, forecasting, and policy analysis. The emphasis is on the careful and rigorous application of econometric techniques and the appropriate interpretation of the results. The economic content of the articles is stressed. A special feature of the Journal is its emphasis on the replicability of results by other researchers. To achieve this aim, authors are expected to make available a complete set of the data used as well as any specialised computer programs employed through a readily accessible medium, preferably in a machine-readable form. The use of microcomputers in applied research and transferability of data is emphasised. The Journal also features occasional sections of short papers re-evaluating previously published papers. The intention of the Journal of Applied Econometrics is to provide an outlet for innovative, quantitative research in economics which cuts across areas of specialisation, involves transferable techniques, and is easily replicable by other researchers. Contributions that introduce statistical methods that are applicable to a variety of economic problems are actively encouraged. The Journal also aims to publish review and survey articles that make recent developments in the field of theoretical and applied econometrics more readily accessible to applied economists in general.