Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application
30 Pages Posted: 4 Nov 2016 Last revised: 15 Nov 2016
Date Written: 2015
Time-varying parameter vector autoregressions (TVP-VARs) have become a popular tool to study the dynamics of macroeconomic time series. In this article, we discuss the specification and estimation of this class of models with a focus on implementability. We provide a step-by-step guide for researchers interested in utilizing this methodology in their own research. Specifically, we discuss how to use Bayesian Gibbs-sampling techniques to easily conduct inference.
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