Niko Hauzenberger, Florian Huber, Gary Koop, James Mitchell
arXiv 24 Sep 2022 · Econometrics
arXiv:2209.11970 · PDF · DOI · OpenAlex · Extracted main text
In light of widespread evidence of parameter instability in macroeconomic models, many time-varying parameter (TVP) models have been proposed. This paper proposes a nonparametric TVP-VAR model using Bayesian additive regression trees (BART) that models the TVPs as an unknown function of effect modifiers. The novelty of this model arises from the fact that the law of motion driving the parameters is treated nonparametrically. This leads to great flexibility in the nature and extent of parameter change, both in the conditional mean and in the conditional variance. Parsimony is achieved through adopting nonparametric factor structures and use of shrinkage priors. In an application to US macroeconomic data, we illustrate the use of our model in tracking both the evolving nature of the Phillips curve and how the effects of business cycle shocks on inflation measures vary nonlinearly with changes in the effect modifiers.
appendix boundary found by appendix_command · 80% of the source is main text. Read the extracted text to check this.
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 | Chan et al (2022) Large Bayesian VARs with factor stochastic volatility: Identification, order invariance and structural analysis | 1.000 | 8 | 3 | 100% |
| 2 | Chipman et al (2010) BART: Bayesian additive regression trees | 1.000 | 8 | 3 | 100% |
| 3 | Deshpande et al (2020) VCBART: Bayesian trees for varying coefficients | 0.928 | 4 | 3 | 100% |
| 4 | Korobilis (2022) A new algorithm for structural restrictions in Bayesian vector autoregressions | 0.928 | 4 | 3 | 100% |
| 5 | Coulombe (2020) The macroeconomy as a random forest | 0.874 | 5 | 2 | 100% |
| 6 | Chan et al (2020) Reducing the state space dimension in a large TVP-VAR | 0.737 | 3 | 3 | 67% |
| 7 | Hauzenberger et al (2022) Fast and flexible Bayesian inference in time-varying parameter regression models | 0.737 | 3 | 3 | 67% |
| 8 | Jurado et al (2015) Measuring uncertainty | 0.737 | 3 | 3 | 67% |
| 9 | Primiceri (2005) Time varying structural autoregressions and monetary policy | 0.737 | 3 | 3 | 67% |
| 10 | Del Negro et al (2020) What's up with the Phillips Curve? | 0.693 | 6 | 1 | 100% |
Showing the top 10 of 63 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.