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Bayesian time series in Stata 17

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  • David Schenck

    (StataCorp)

Abstract

Stata 17 introduced Bayesian support for several multivariate time-series commands. In this presentation, I will discuss Bayesian vector autoregressive models and Bayesian DSGE models. Bayesian estimation is well suited to these models because economic considerations often impose structure that is captured well by informative priors. I will describe the main features of these commands, as well as Bayesian diagnostics, posterior hypothesis tests, predictions, impulse–response functions, and forecasts.

Suggested Citation

  • David Schenck, 2022. "Bayesian time series in Stata 17," Swiss Stata Conference 2022 08, Stata Users Group.
    • Handle: RePEc:boc:csug22:08
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    File URL: http://repec.org/csug2022/Schenck-Bern2022.pdf
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