Journal of the Royal Statistical Society. Series A (Statistics in Society), Vol. 182, No. 3 (2019), pp. 831-861 (31 pages) The paper develops a global vector auto-regressive model with time varying ...
Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the ...
This paper investigates spillovers between electricity supply shocks and US growth, using monthly data from forty-eight US states from January 2001 to September 2016, and employs a novel strategy for ...
Abstract This paper analyzes whether a wealth of information contained in 126 monthly series used by large-scale Bayesian Vector Autoregressive (LBVAR) models, as well as Factor Augmented Vector ...
Abstract: This paper investigates the sensitivity of Latin American GDP growth to external developments using a Bayesian vector-autoregressive model with informative steady-state priors. The model is ...
This paper provides a novel empirical approach to scenario design for selecting a stress scenario for international macrofinancial variables. The scenario design framework is composed of several ...
A model with first-order autoregressive errors, AR(1), has the form while an AR(2) error process has the form and so forth for higher-order processes. Note that the ...
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