Large Hybrid Time-Varying Parameter VARs

 0 Người đánh giá. Xếp hạng trung bình 0

Tác giả: Joshua C. C Chan

Ngôn ngữ: eng

Ký hiệu phân loại: 003.78 Distributed-parameter systems

Thông tin xuất bản: 2022

Mô tả vật lý:

Bộ sưu tập: Metadata

ID: 168603

Time-varying parameter VARs with stochastic volatility are routinely used for structural analysis and forecasting in settings involving a few endogenous variables. Applying these models to high-dimensional datasets has proved to be challenging due to intensive computations and over-parameterization concerns. We develop an efficient Bayesian sparsification method for a class of models we call hybrid TVP-VARs--VARs with time-varying parameters in some equations but constant coefficients in others. Specifically, for each equation, the new method automatically decides whether the VAR coefficients and contemporaneous relations among variables are constant or time-varying. Using US datasets of various dimensions, we find evidence that the parameters in some, but not all, equations are time varying. The large hybrid TVP-VAR also forecasts better than many standard benchmarks.
Tạo bộ sưu tập với mã QR

THƯ VIỆN - TRƯỜNG ĐẠI HỌC CÔNG NGHỆ TP.HCM

ĐT: (028) 36225755 | Email: tt.thuvien@hutech.edu.vn

Copyright @2024 THƯ VIỆN HUTECH