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

30 Pages Posted: 4 Nov 2016

See all articles by Thomas A. Lubik

Thomas A. Lubik

Johns Hopkins University - Department of Economics

Christian Matthes

Federal Reserve Bank of Richmond

Date Written: 2015

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

Lubik, Thomas A. and Matthes, Christian, Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application (2015). Economic Quarterly, Issue 4Q, pp. 323-352, 2015. Available at SSRN: https://ssrn.com/abstract=2864239 or http://dx.doi.org/10.21144/eq1010403

Thomas A. Lubik (Contact Author)

Johns Hopkins University - Department of Economics ( email )

3400 Charles Street
Baltimore, MD 21218-2685
United States

Christian Matthes

Federal Reserve Bank of Richmond ( email )

P.O. Box 27622
Richmond, VA 23261
United States

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