Arbeitspapier
Streamlining time-varying VAR with a factor structure in the parameters
I introduce a factor structure on the parameters of a Bayesian TVP-VAR to reduce the dimension of the model's state space. To further limit the scope of over-fitting the estimation of the factor loadings uses a new generation of shrinkage priors. A Monte Carlo study illustrates the ability of the proposed sampler to well distinguish between time-varying and constant parameters. In an application with Swiss data the model proves useful to capture changes in the economy's dynamics due to the lower bound on nominal interest rates.
- Language
-
Englisch
- Bibliographic citation
-
Series: Working Paper ; No. 19.03
- Classification
-
Wirtschaft
Bayesian Analysis: General
Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Monetary Policy
- Subject
-
Bayesian VAR
time-varying parameter
dimension reduction
- Event
-
Geistige Schöpfung
- (who)
-
Beyeler, Simon
- Event
-
Veröffentlichung
- (who)
-
Swiss National Bank, Study Center Gerzensee
- (where)
-
Gerzensee
- (when)
-
2019
- Handle
- Last update
-
10.03.2025, 11:46 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
- Beyeler, Simon
- Swiss National Bank, Study Center Gerzensee
Time of origin
- 2019
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