کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5098904 1376968 2011 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Time varying VARs with inequality restrictions
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات کنترل و بهینه سازی
پیش نمایش صفحه اول مقاله
Time varying VARs with inequality restrictions
چکیده انگلیسی
In many applications involving time-varying parameter VARs, it is desirable to restrict the VAR coefficients at each point in time to be non-explosive. This is an example of a problem where inequality restrictions are imposed on states in a state space model. In this paper, we describe how existing MCMC algorithms for imposing such inequality restrictions can work poorly (or not at all) and suggest alternative algorithms which exhibit better performance. Furthermore, we show that previous algorithms involve an approximation relating to a key prior integrating constant. Our algorithms are exact, not involving this approximation. In an application involving a commonly used U.S. data set, we present evidence that the algorithms proposed in this paper work well.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Economic Dynamics and Control - Volume 35, Issue 7, July 2011, Pages 1126-1138
نویسندگان
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