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 ...
AEA Papers and Proceedings, Vol. 112, PAPERS AND PROCEEDINGS OF THE One Hundred Thirty-Fourth Annual Meeting OF THE AMERICAN ECONOMIC ASSOCIATION (MAY 2022), pp. 466-470 (5 pages) The problem of ...
A Bayesian reference analysis of the cointegrated vector autoregression is presented based on a new prior distribution. Among other properties, it is shown that this prior distribution distributes its ...
A Bayesian factor-augmented interacted vector autoregression framework purified of expectations is employed to analyze how government spending shocks have impacted CO2 emissions in the United States ...
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