1,244
Views
23
CrossRef citations to date
0
Altmetric
Original Articles

Choosing Prior Hyperparameters: With Applications to Time-Varying Parameter Models

, &
Pages 124-136 | Received 01 Mar 2017, Published online: 18 Jun 2018

References

  • Amir-Ahmadi, P., Matthes, C., and Wang, M.-C. (2016), “Drifts and Volatilities Under Measurement Error: Assessing Monetary Policy Shocks Over the Last Century,” Quantitative Economics, 7, 591–611.
  • Banbura, M., Giannone, D., and Reichlin, L. (2010), “Large Bayesian Vector Auto Regressions,” Journal of Applied Econometrics, 25, 71–92.
  • Benati, L. (2015), “How Fast Can Advanced Economies Grow?” Working Paper, University of Bern.
  • Chan, J. C., and Eisenstat, E. (2018), “Bayesian Model Comparison for Time-Varying Parameter VARs With Stochastic Volatility,” Journal of Applied Econometrics.
  • Cogley, T., Primiceri, G. E., and Sargent, T. J. (2010), “Inflation-Gap Persistence in the US,” American Economic Journal: Macroeconomics, 2, 43–69.
  • Cogley, T., and Sargent, T. J. (2005), “Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.,” Review of Economic Dynamics, 8, 262–302.
  • D’Agostino, A., Gambetti, L., and Giannone, D. (2013), “Macroeconomic Forecasting and Structural Change,” Journal of Applied Econometrics, 28, 82–101.
  • D’Agostino, A., and Surico, P. (2012), “A Century of Inflation Forecasts,” The Review of Economics and Statistics, 94, 1097–1106.
  • Del Negro, M., and Primiceri, G. (2015), “Time-Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum,” Review of Economic Studies, 82, 1342–1345.
  • Doan, T., Litterman, R. B., and Sims, C. A. (1984), “Forecasting and Conditional Projection Using Realistic Prior Distribution,” Econometric Reviews, 31, 1–100.
  • Gelman, A., Carlin, J. B., Stern, H. S., Dunson, D. B., Vehtari, A., and Rubin, D. B. (2013), Bayesian Data Analysis, Boca Raton, FL: Chapman & Hall.
  • Geweke, J. (2005), Contemporary Bayesian Econometrics and Statistics, New York: Wiley.
  • Giannone, D., Lenza, M., and Primiceri, G. E. (2015), “Prior Selection for Vector Autoregressions,” The Review of Economics and Statistics, 97, 436–451.
  • Koop, G., and Korobilis, D. (2010), “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,” Foundations and Trends(R) in Econometrics, 3, 267–358.
  • Korobilis, D. (2014), “Data-Based Priors for Vector Autoregressions With Drifting Coefficients,” MPRA Paper 53772, University Library of Munich, Germany.
  • Lopes, H. F., Moreira, A. R. B., and Schmidt, A. M. (1999), “Hyperparameter Estimation in Forecast Models,” Computational Statistics & Data Analysis, 29, 387–410.
  • Primiceri, G. (2005), “Time Varying Structural Vector Autoregressions and Monetary Policy,” Review of Economic Studies, 72, 821–852.
  • Reusens, P., and Croux, C. (2017), “Detecting Time Variation in the Price Puzzle: An Improved Prior Choice for Time Varying Parameter VAR Models,” Studies in Nonlinear Dynamics and Econometrics, 21.
  • Sargent, T. J., and Surico, P. (2011), “Two Illustrations of the Quantity Theory of Money: Breakdowns and Revivals,” American Economic Review, 101, 109–128.
  • Stock, J. H., and Watson, M. W. (1996), “Evidence on Structural Instability in Macroeconomic Time Series Relations,” Journal of Business & Economic Statistics, 14, 11–30.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.