Inference in Bayesian Proxy-SVARs
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DOI: 10.21799/frbp.wp.2018.25
Note: Revised October 2020
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Other versions of this item:
- Arias, Jonas E. & Rubio-Ramírez, Juan F. & Waggoner, Daniel F., 2021. "Inference in Bayesian Proxy-SVARs," Journal of Econometrics, Elsevier, vol. 225(1), pages 88-106.
- Jonas E. Arias & Juan F. Rubio-Ramírez & Daniel F. Waggoner, 2018. "Inference in Bayesian Proxy-SVARs," Working Papers 2018-13, FEDEA.
- Jonas E. Arias & Juan F. Rubio-Ramirez & Daniel F. Waggoner, 2018. "Inference in Bayesian Proxy-SVARs," FRB Atlanta Working Paper 2018-16, Federal Reserve Bank of Atlanta.
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More about this item
Keywords
SVARs; External Instruments; Importance Sampler;All these keywords.
JEL classification:
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2018-12-03 (Econometrics)
- NEP-ETS-2018-12-03 (Econometric Time Series)
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