کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7348380 1476592 2018 5 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Comparing hybrid time-varying parameter VARs
ترجمه فارسی عنوان
مقایسه پارامترهای متغیر ترکیبی زمان متغیر
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
Empirical questions such as whether the Phillips curve or the Okun's law is stable can often be framed as a model comparison-e.g., comparing a vector autoregression (VAR) in which the coefficients in one equation are constant versus one that has time-varying parameters. We develop Bayesian model comparison methods to compare a class of time-varying parameter VARs we call hybrid TVP-VARs-VARs with time-varying parameters in some equations but constant coefficients in others. Using US data, we find evidence that the VAR coefficients in some, but not all, equations are time varying. Our finding highlights the empirical relevance of these hybrid TVP-VARs.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 171, October 2018, Pages 1-5
نویسندگان
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