A Gibbs simulator for restricted VAR models
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Michael T. Owyang, 2002. "Modeling Volcker as a non-absorbing state: agnostic identification of a Markov-switching VAR," Working Papers 2002-018, Federal Reserve Bank of St. Louis.
- Chew Lian Chua & Peter Summers, 2004. "Structural Error Correction Model: A Bayesian Perspective," Econometric Society 2004 Far Eastern Meetings 702, Econometric Society.
- Kim, Soyoung, 2001. "International transmission of U.S. monetary policy shocks: Evidence from VAR's," Journal of Monetary Economics, Elsevier, vol. 48(2), pages 339-372, October.
More about this item
KeywordsEconometric models ; Vector autoregression ; Monetary policy ; Time-series analysis;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2000-10-31 (All new papers)
- NEP-ECM-2000-10-31 (Econometrics)
- NEP-ETS-2000-10-31 (Econometric Time Series)
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