Arbeitspapier
Bayesian analysis of recursive SVAR models with overidentifying restrictions
The paper provides a novel Bayesian methodological framework to estimate structural VAR (SVAR) models with recursive identification schemes that allows for the inclusion of over-identifying restrictions. The proposed framework enables the researcher to (i) elicit the prior on the non-zero contemporaneous relations between economic variables and to (ii) derive an analytical expression for the posterior distribution and marginal data density. We illustrate our methodological framework by estimating a backward looking New-Keynesian model taking into account prior beliefs about the contemporaneous coefficients in the Phillips curve and Taylor rule.
- Sprache
-
Englisch
- Erschienen in
-
Series: ECB Working Paper ; No. 1492
- Klassifikation
-
Wirtschaft
Bayesian Analysis: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Thema
-
Bayesian inference
overidentifying restrictions
Structural VAR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kociecki, Andrzej
Rubaszek, Michał
Ca' Zorzi, Michele
- Ereignis
-
Veröffentlichung
- (wer)
-
European Central Bank (ECB)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kociecki, Andrzej
- Rubaszek, Michał
- Ca' Zorzi, Michele
- European Central Bank (ECB)
Entstanden
- 2012
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