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Modelos Bvar: Especificación, Estimación E Inferencia

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  • Enrique M. Quilis(1)

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    (Instituto Nacional de Estadística)

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    Abstract

    . En este trabajo se analiza, en primer lugar, la especificación bayesiana de los vectores de autorregresiones (BVAR), tomando como punto de partida los modelos VAR no restringidos y las técnicas de estimación contraída. A continuación, se detalla su estimación como un caso especial del método de estimación mixta de Theil. El texto toma como hilo conductor la especificación a priori propuesta por Litterman así como su extensión al caso estacional elaborada por Raynauld y Simonato. Esta última abre interesantes perspectivas para el uso de estos modelos en el análisis de la coyuntura económica. El trabajo también examina la determinación de los hiperparámetros que controlan la especificación a priori (calibrado) junto con la relación existente entre los modelos BVAR y los VARMA. Finalmente, se expone el uso inferencial de los modelos BVAR para el análisis de cointegración.

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    Paper provided by Instituto de Estudios Fiscales in its series Working Papers with number 8-02 Classification-JEL : C110, C320, C500..

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    Handle: RePEc:hpe:wpaper:y:2002:i:8

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    Keywords: Modelos BVAR; VAR y VARMA; análisis bayesiano; estacionalidad; cointegración.;

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    1. John C. Robertson & Ellis W. Tallman, 1999. "Vector autoregressions: forecasting and reality," Economic Review, Federal Reserve Bank of Atlanta, issue Q1, pages 4-18.
    2. Thomas J. Sargent, 1979. "Estimating vector autoregressions using methods not based on explicit economic theories," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Sum.
    3. Canova, Fabio, 1992. "An Alternative Approach to Modeling and Forecasting Seasonal Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(1), pages 97-108, January.
    4. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-42, October.
    5. Alexandre Mathis & Georges Fiori & Claude Deniau, 1992. "Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères," Économie et Prévision, Programme National Persée, vol. 106(5), pages 61-69.
    6. Bewley, Ronald & Orden, David & Yang, Minxian & Fisher, Lance A., 1994. "Comparison of Box--Tiao and Johansen canonical estimators of cointegrating vectors in VEC(1) models," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 3-27.
    7. Maravall, Agustin, 1993. "Stochastic linear trends : Models and estimators," Journal of Econometrics, Elsevier, vol. 56(1-2), pages 5-37, March.
    8. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
    9. Johansen, Soren, 1995. "Likelihood-Based Inference in Cointegrated Vector Autoregressive Models," OUP Catalogue, Oxford University Press, number 9780198774501.
    10. Raynauld, Jacques & Simonato, Jean-Guy, 1993. "Seasonal BVAR models : A search along some time domain priors," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 203-229.
    11. Ingram, Beth F. & Whiteman, Charles H., 1994. "Supplanting the 'Minnesota' prior: Forecasting macroeconomic time series using real business cycle model priors," Journal of Monetary Economics, Elsevier, vol. 34(3), pages 497-510, December.
    12. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbance," Working papers 497, Massachusetts Institute of Technology (MIT), Department of Economics.
    13. Andrew C Harvey & Andrew Scott, 1994. "Seasonality in Dynamic Regression Models," CEP Discussion Papers dp0184, Centre for Economic Performance, LSE.
    14. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454, October.
    15. Robert B. Litterman & Laurence M. Weiss, 1984. "Money, real interest rates, and output: a reinterpretation of postwar U.S. data," Staff Report 89, Federal Reserve Bank of Minneapolis.
    16. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
    17. Luis J. Álvarez & Fernando C. Ballabriga, 1994. "BVAR models in the context of cointegration: A Monte Carlo experiment," Banco de Espa�a Working Papers 9405, Banco de Espa�a.
    18. Blanchard, Olivier Jean, 1989. "A Traditional Interpretation of Macroeconomic Fluctuations," American Economic Review, American Economic Association, vol. 79(5), pages 1146-64, December.
    19. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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