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Bayesian Graphical Models for STructural Vector Autoregressive Processes

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  • Daniel Felix Ahelegbey
  • Monica Billio
  • Roberto Casarin

Abstract

Vector autoregressive models have widely been applied in macroeconomics and macroeconometrics to estimate economic relationships and to empirically assess theoretical hypothesis. To achieve the latter, we propose a Bayesian inference approach to analyze the dynamic interactions among macroeconomics variables in a graphical vector autoregressive model. The method decomposes the structural model into multivariate autoregressive and contemporaneous networks that can be represented in the form of a directed acyclic graph. We then simulated the networks with an independent sampling scheme based on a single-move Markov Chain Monte Carlo (MCMC) approach. We evaluated the efficiency of our inference procedure with a synthetic data and an empirical assessment of the business cycles hypothesis.
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Suggested Citation

  • Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016. "Bayesian Graphical Models for STructural Vector Autoregressive Processes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(2), pages 357-386, March.
    • Handle: RePEc:wly:japmet:v:31:y:2016:i:2:p:357-386
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    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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