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Un Gran VAR Bayesiano para la Economia Chilena

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  • Wildo González

    () (Banco Central de Chile)

Abstract

This article develops a Large Bayesian VAR with more than 100 variables for the Chilean economy, as Banbura, Giannone and Reichlin (2010) shows 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 response functions to a monetary shock, as well as some sectoral shocks

Suggested Citation

  • 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.
  • Handle: RePEc:ila:anaeco:v:27:y:2012:i:2:p:75-119
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    Keywords

    Bayesian VAR; forecasting; bayesian shrinkage; large cross-sections;

    JEL classification:

    • 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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