bvarsv

bvarsv: Bayesian Analysis of a Vector Autoregressive Model with Stochastic Volatility and Time-Varying Parameters. R/C++ implementation of the model proposed by Primiceri (”Time Varying Structural Vector Autoregressions and Monetary Policy”, Review of Economic Studies, 2005), with a focus on generating posterior predictive distributions.


References in zbMATH (referenced in 90 articles , 1 standard article )

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  1. Eckert, Florian; Hyndman, Rob J.; Panagiotelis, Anastasios: Forecasting Swiss exports using Bayesian forecast reconciliation (2021)
  2. Funashima, Yoshito: Time-frequency regression (2021)
  3. Haque, Qazi; Magnusson, Leandro M.: Uncertainty shocks and inflation dynamics in the U.S. (2021)
  4. Albuquerque, Bruno; Iseringhausen, Martin; Opitz, Frederic: Monetary policy and US housing expansions: the case of time-varying supply elasticities (2020)
  5. Ankargren, Sebastian; Unosson, Måns; Yang, Yukai: A flexible mixed-frequency vector autoregression with a steady-state prior (2020)
  6. Caraiani, Petre; Dutescu, Adriana; Hoinaru, Răzvan; Stănilă, Georgiana Oana: Production network structure and the impact of the monetary policy shocks: evidence from the OECD (2020)
  7. Chan, Joshua C. C.; Eisenstat, Eric; Strachan, Rodney W.: Reducing the state space dimension in a large TVP-VAR (2020)
  8. Fisher, Jared D.; Pettenuzzo, Davide; Carvalho, Carlos M.: Optimal asset allocation with multivariate Bayesian dynamic linear models (2020)
  9. Karlsson, Sune; Österholm, Pär: The relation between the corporate bond-yield spread and the real economy: stable or time-varying? (2020)
  10. Karlsson, Sune; Österholm, Pär: A hybrid time-varying parameter Bayesian VAR analysis of Okun’s law in the United States (2020)
  11. McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike: Multivariate Bayesian predictive synthesis in macroeconomic forecasting (2020)
  12. Nakajima, Jouchi: Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions” (2020)
  13. Tsang, Kwok Ping; Yang, Zichao: Price dispersion in bitcoin exchanges (2020)
  14. West, Mike: Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions (2020)
  15. Angela Bitto-Nemling, Annalisa Cadonna, Sylvia Frühwirth-Schnatter, Peter Knaus: Shrinkage in the Time-Varying Parameter Model Framework Using the R Package shrinkTVP (2019) arXiv
  16. Bitto, Angela; Frühwirth-Schnatter, Sylvia: Achieving shrinkage in a time-varying parameter model framework (2019)
  17. Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano: Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors (2019)
  18. Gong, Xiao-Li; Liu, Xi-Hua; Xiong, Xiong; Zhuang, Xin-Tian: Non-Gaussian VARMA model with stochastic volatility and applications in stock market bubbles (2019)
  19. Irie, Kaoru; West, Mike: Bayesian emulation for multi-step optimization in decision problems (2019)
  20. Kapetanios, George; Masolo, Riccardo M.; Petrova, Katerina; Waldron, Matthew: A time-varying parameter structural model of the UK economy (2019)

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