Priors about Observables in Vector Autoregressions
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- Marek Jarocinski & Albert Marcet, 2013. "Priors about Observables in Vector Autoregressions," Working Papers 684, Barcelona Graduate School of Economics.
References listed on IDEAS
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- Weale, Martin & Wieladek, Tomasz, 2016.
"What are the macroeconomic effects of asset purchases?,"
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More about this item
KeywordsVector Autoregression; Bayesian Estimation; Prior about Observables; Inverse Problem; Monetary Policy Shocks;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-04-13 (All new papers)
- NEP-ECM-2013-04-13 (Econometrics)
- NEP-ETS-2013-04-13 (Econometric Time Series)
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