Comparing Hybrid Time-Varying Parameter VARs

17 Pages Posted: 3 Jul 2018

See all articles by Joshua Chan

Joshua Chan

University of Technology Sydney (UTS)

Eric Eisenstat

Eisenstat

Date Written: June 28, 2018

Abstract

Empirical questions such as whether the Phillips curve or the Okun’s law is stable can often be framed as a model comparison—e.g., comparing a vector autoregression (VAR) in which the coefficients in one equation are constant versus one that has time-varying parameters. We develop Bayesian model comparison methods to compare a class of time-varying parameter VARs we call hybrid TVP-VARs—VARs with time-varying parameters in some equations but constant coefficients in others. Using US data, we find evidence that the VAR coefficients in some, but not all, equations are time varying. Our finding highlights the empirical relevance of these hybrid TVP-VARs.

Keywords: state space, marginal likelihood, Bayesian model comparison

JEL Classification: C11, C52, E32, E52

Suggested Citation

Chan, Joshua and Eisenstat, Eric, Comparing Hybrid Time-Varying Parameter VARs (June 28, 2018). CAMA Working Paper No. 31/2018. Available at SSRN: https://ssrn.com/abstract=3204835 or http://dx.doi.org/10.2139/ssrn.3204835

Joshua Chan (Contact Author)

University of Technology Sydney (UTS) ( email )

15 Broadway, Ultimo
PO Box 123
Sydney, NSW 2007
Australia

Eric Eisenstat

Eisenstat ( email )

St Lucia
Brisbane, Queensland 4072
Australia

Register to save articles to
your library

Register

Paper statistics

Downloads
10
Abstract Views
149
PlumX Metrics