Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as time-varying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus, over...
|Place of publication:||
|Data of publication:||2009-09-27|
Empirical macroeconometrics, Bayesian estimation, MCMC, vector autoregressions, factor models, time-varying parameters
|Online Access:||available in Bonn?|
|Database:||OpenAIRE (Open Access)
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