IDEAS home Printed from https://ideas.repec.org/a/fip/fedreq/00040.html
   My bibliography  Save this article

Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application

Author

Listed:
  • Christian Matthes
  • Thomas A. Lubik

    (Federal Reserve Bank of Richmond
    Yale University
    Johns Hopkins University
    Economic Research Division)

Abstract

Time-varying parameter vector autoregressions (TVP-VARs) have become a popular tool to study the dynamics of macroeconomic time series. In this article, we discuss the specification and estimation of this class of models with a focus on implementability. We provide a step-by-step guide for researchers interested in utilizing this methodology in their own research. Specifically, we discuss how to use Bayesian Gibbs-sampling techniques to easily conduct inference.

Suggested Citation

  • Christian Matthes & Thomas A. Lubik, 2015. "Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application," Economic Quarterly, Federal Reserve Bank of Richmond, issue 4Q, pages 323-352.
    • Handle: RePEc:fip:fedreq:00040
    DOI: 10.21144/eq1010403
    as

    Download full text from publisher

    File URL: https://www.richmondfed.org/-/media/richmondfedorg/publications/research/economic_quarterly/2015/q4/pdf/lubik.pdf
    File Function: Full text
    Download Restriction: no

    References listed on IDEAS

    as
    1. Fabio Canova & Fernando J. Pérez Forero, 2015. "Estimating overidentified, nonrecursive, time‐varying coefficients structural vector autoregressions," Quantitative Economics, Econometric Society, vol. 6(2), pages 359-384, July.
    2. Thomas A. Lubik & Frank Schorfheide, 2004. "Testing for Indeterminacy: An Application to U.S. Monetary Policy," American Economic Review, American Economic Association, vol. 94(1), pages 190-217, March.
    3. Christiano, Lawrence J. & Eichenbaum, Martin & Evans, Charles L., 1999. "Monetary policy shocks: What have we learned and to what end?," Handbook of Macroeconomics, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 2, pages 65-148, Elsevier.
    4. Jouchi Nakajima, 2011. "Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 29, pages 107-142, November.
    5. Fabio Canova & Filippo Ferroni & Christian Matthes, 2015. "Approximating Time Varying Structural Models With Time Invariant Structures," Working Paper 15-10, Federal Reserve Bank of Richmond, revised 23 Oct 2015.
    6. Thomas A. Lubik & Paolo Surico, 2010. "The Lucas critique and the stability of empirical models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 177-194.
    7. Koop, Gary & Korobilis, Dimitris, 2010. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
    8. Canova, Fabio & Gambetti, Luca, 2009. "Structural changes in the US economy: Is there a role for monetary policy?," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 477-490, February.
    9. Luca Benati & Thomas A. Lubik, 2014. "Sales, Inventories And Real Interest Rates: A Century Of Stylized Facts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1210-1222, November.
    10. Christopher A. Sims & Tao Zha, 2006. "Were There Regime Switches in U.S. Monetary Policy?," American Economic Review, American Economic Association, vol. 96(1), pages 54-81, March.
    11. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," Review of Economic Studies, Oxford University Press, vol. 65(3), pages 361-393.
    12. Michael Connolly & Taeyoung Doh, 2012. "The state space representation and estimation of a time-varying parameter VAR with stochastic volatility," Research Working Paper RWP 12-04, Federal Reserve Bank of Kansas City, revised 2012.
    13. Pooyan Amir‐Ahmadi & Christian Matthes & Mu‐Chun Wang, 2016. "Drifts and volatilities under measurement error: Assessing monetary policy shocks over the last century," Quantitative Economics, Econometric Society, vol. 7(2), pages 591-611, July.
    14. Andrew Owens & Thomas A. Lubik & Christian Matthes, 2016. "Beveridge Curve Shifts and Time-Varying Parameter VARs," Economic Quarterly, Federal Reserve Bank of Richmond, pages 197-226.
    15. Giorgio E. Primiceri, 2005. "Time Varying Structural Vector Autoregressions and Monetary Policy," Review of Economic Studies, Oxford University Press, vol. 72(3), pages 821-852.
    16. Marco Del Negro & Giorgio E. Primiceri, 2015. "Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum," Review of Economic Studies, Oxford University Press, vol. 82(4), pages 1342-1345.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Auray, Stéphane & Eyquem, Aurélien, 2019. "Episodes of war and peace in an estimated open economy model," Journal of Economic Dynamics and Control, Elsevier, vol. 105(C), pages 203-249.
    2. Jonathan Lecznar & Thomas A. Lubik, 2017. "Real Rates and Consumption Smoothing in a Low Interest Rate Environment: The Case of Japan," Working Paper 17-8, Federal Reserve Bank of Richmond, revised 18 May 2017.
    3. Andrew Owens & Thomas A. Lubik & Christian Matthes, 2016. "Beveridge Curve Shifts and Time-Varying Parameter VARs," Economic Quarterly, Federal Reserve Bank of Richmond, pages 197-226.
    4. Hess Chung & Etienne Gagnon & Taisuke Nakata & Matthias Paustian & Bernd Schlusche & James Trevino & Diego Vilan & Wei Zheng, 2019. "Monetary Policy Options at the Effective Lower Bound : Assessing the Federal Reserve's Current Policy Toolkit," Finance and Economics Discussion Series 2019-003, Board of Governors of the Federal Reserve System (U.S.).
    5. Josh Davis & Cristian Fuenzalida & Alan M. Taylor, 2019. "The Natural Rate Puzzle: Global Macro Trends and the Market-Implied r," NBER Working Papers 26560, National Bureau of Economic Research, Inc.
    6. Legrand, Romain, 2018. "Time-Varying Vector Autoregressions: Efficient Estimation, Random Inertia and Random Mean," MPRA Paper 88925, University Library of Munich, Germany.
    7. Lombardi, Domenico & Siklos, Pierre L. & Xie, Xiangyou, 2018. "Monetary policy transmission in systemically important economies and China’s impact," Journal of Asian Economics, Elsevier, vol. 59(C), pages 61-79.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fip:fedreq:00040. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christian Pascasio). General contact details of provider: http://edirc.repec.org/data/frbrius.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.