Structural Panel Bayesian VAR with Multivariate Time-varying Volatility to jointly deal with Structural Changes, Policy Regime Shifts, and Endogeneity Issues
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More about this item
Keywords
Structural Panel VAR; Bayesian Methods; Multivariate Volatility; Policy Regime Shifts Endogeneity Issues; Central-Eastern and Western Europe.;All these keywords.
JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2021-01-25 (Econometrics)
- NEP-ETS-2021-01-25 (Econometric Time Series)
- NEP-MAC-2021-01-25 (Macroeconomics)
- NEP-ORE-2021-01-25 (Operations Research)
- NEP-TRA-2021-01-25 (Transition Economics)
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