Denis Belomestny, Ekaterina Krymova, Andrey Polbin
arXiv 3 Aug 2020 · Econometrics
arXiv:2008.00718 · PDF · DOI · OpenAlex · Extracted main text
The main goal of this paper is to develop a methodology for estimating time varying parameter vector auto-regression (TVP-VAR) models with a timeinvariant long-run relationship between endogenous variables and changes in exogenous variables. We propose a Gibbs sampling scheme for estimation of model parameters as well as time-invariant long-run multiplier parameters. Further we demonstrate the applicability of the proposed method by analyzing examples of the Norwegian and Russian economies based on the data on real GDP, real exchange rate and real oil prices. Our results show that incorporating the time invariance constraint on the long-run multipliers in TVP-VAR model helps to significantly improve the forecasting performance.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Primiceri, G.E (2005) Time varying structural vector autoregressions and monetary policy | 1.000 | 11 | 3 | 100% |
| 2 | Del Negro, M., Primiceri, G.E (2015) Time varying structural vector autoregressions and monetary policy: a corrigendum | 1.000 | 7 | 4 | 100% |
| 3 | Carter, C.K., Kohn, R (1994) On gibbs sampling for state space models | 0.811 | 4 | 2 | 100% |
| 4 | Canova, F., Pérez Forero, F.J (2015) Estimating overidentified, nonrecursive, time-varying coefficients structural vector autoregressions | 0.511 | 2 | 1 | 100% |
| 5 | Cogley, T., Sargent, T.J (2005) Drifts and volatilities: monetary policies and outcomes in the post wwii us | 0.511 | 2 | 1 | 100% |
| 6 | Altig, D., Christiano, L.J., Eichenbaum, M., Linde, J (2011) Firm-specific capital, nominal rigidities and the business cycle | 0.405 | 1 | 1 | 100% |
| 7 | Antolin-Diaz, J., Drechsel, T., Petrella, I (2017) Tracking the slowdown in long-run gdp growth | 0.405 | 1 | 1 | 100% |
| 8 | Baumeister, C., Peersman, G (2013) Time-varying effects of oil supply shocks on the us economy | 0.405 | 1 | 1 | 100% |
| 9 | Broda, C (2004) Terms of trade and exchange rate regimes in developing countries | 0.405 | 1 | 1 | 100% |
| 10 | Krueger, F (2015) bvarsv: Bayesian analysis of a vector autoregressive model with stochastic volatility and time-varying parameters | 0.405 | 1 | 1 | 100% |
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