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Campo DC | Valor |
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dc.contributor.author | Álvarez, Luis J. |
dc.contributor.author | Ballabriga Claveria, Fernando |
dc.date.accessioned | 2019-08-10T17:21:33Z |
dc.date.available | 2019-08-10T17:21:33Z |
dc.date.issued | 1994-02-28 |
dc.identifier.isbn | ISBN: 8477932883 |
dc.identifier.uri | https://repositorio.bde.es/handle/123456789/6530 |
dc.description.abstract | The kind of prior typically employed in Bayesian vector autoregression (BVAR) analysis has aroused widespread suspicion about the ability of these models to capture long-run patterns. This paper specifies a bivariate cointegrated stochastic process and conducts a Monte|Carlo experiment to assess the small sample performance of two classical and two Bayesian estimation methods commonly applied to VAR models. In addition, a proposal to introduce a new dimension to the prior information in order to allow for explicit account of long-run restrictions is suggested and evaluated in the light of the experiment. The results of the experiment show that: the Minnesota -type prior with hyperparameter search performs well, suggesting that the prevalent suspicion about the inability of this prior to capture long-run patterns is not well-grounded |
dc.description.abstract | the fine-tunning of the prior is crucial |
dc.description.abstract | and adding long-run restrictions to the prior does not provide improvements in the case analyzed.(jag)(fbg)(jha) |
dc.format.extent | 41 p. |
dc.language.iso | en |
dc.publisher | Banco de España. Servicio de Estudios |
dc.relation.ispartof | Documentos de Trabajo / Banco de España, 9405 |
dc.rights | Reconocimiento-NoComercial-CompartirIgual 4.0 Internacional (CC BY-NC-SA 4.0) |
dc.rights | In Copyright - Non Commercial Use Permitted |
dc.rights.uri | https://creativecommons.org/licenses/by-nc-sa/4.0/deed.es_ES |
dc.rights.uri | http://rightsstatements.org/vocab/InC-NC/1.0/ |
dc.title | BVAR models in the context of cointegration : a Monte Carlo experiment |
dc.type | Documento de trabajo |
dc.identifier.bdebib | 000086694 |
dc.identifier.bdepub | DTRA-199405-eng |
dc.subject.bde | Modelos econométricos |
dc.publisher.bde | Madrid : Banco de España. Servicio de Estudios, 1994 |