Arbeitspapier
Bayesian analysis of econometric time series models using hybrid integration rules
This paper is concerned with the study of Bayesian inference procedures to commonly used time series models. In particular, the dynamic or state-space models, the time-varying vector autoregressive model and the structural vector autoregressive model are considered in detail. Inference procedures are based on a hybrid integration scheme where state parameters are analytically integrated and hyperparameters are integrated by Markov chain Monte Carlo methods. Credibility regions for forecasts and impulse responses are then derived. The procedures are illustrated in real data sets.
- Language
-
Englisch
- Bibliographic citation
-
Series: Discussion Paper ; No. 105
- Classification
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Wirtschaft
- Subject
-
Bayesian
Dynamic
Hyperparameters
Impulse response
Markov chain Monte Carlo
Metropolis-Hastings algorithm
Vector autoregressive models
- Event
-
Geistige Schöpfung
- (who)
-
Moreira, Ajax Reynaldo Bello
Gamerman, Dani
- Event
-
Veröffentlichung
- (who)
-
Institute for Applied Economic Research (ipea)
- (where)
-
Brasília
- (when)
-
2015
- Handle
- Last update
-
10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Moreira, Ajax Reynaldo Bello
- Gamerman, Dani
- Institute for Applied Economic Research (ipea)
Time of origin
- 2015
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