Un Gran VAR Bayesiano para la Economía Chilena
AbstractThis article develops a large Bayesian VAR with more than 100 variables for the Chilean economy, as Banbura, Giannone and Reichlin (2010). We show that, when the degree of shrinkage is set in relation to the cross-sectional dimension of the sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and sectoral information. The results show that the large bayesian VAR compares favorably with some univariate models. It further examines the impulse responses to a monetary shock, as well as to some sectoral shocks.
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Bibliographic InfoPaper provided by Central Bank of Chile in its series Working Papers Central Bank of Chile with number 653.
Date of creation: Jan 2012
Date of revision:
Other versions of this item:
- Wildo González, 2012. "Un Gran VAR Bayesiano para la Economia Chilena," Revista de Analisis Economico – Economic Analysis Review, Ilades-Georgetown University, Universidad Alberto Hurtado/School of Economics and Bussines, vol. 27(2), pages 75-119, October.
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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