Koop, Gary and Korobilis, Dimitris (2009): Bayesian Multivariate Time Series Methods for Empirical Macroeconomics.

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Abstract
Macroeconomic practitioners frequently work with multivariate time series models such as VARs, factor augmented VARs as well as timevarying parameter versions of these models (including variants with multivariate stochastic volatility). These models have a large number of parameters and, thus, overparameterization problems may arise. Bayesian methods have become increasingly popular as a way of overcoming these problems. In this monograph, we discuss VARs, factor augmented VARs and timevarying parameter extensions and show how Bayesian inference proceeds. Apart from the simplest of VARs, Bayesian inference requires the use of Markov chain Monte Carlo methods developed for state space models and we describe these algorithms. The focus is on the empirical macroeconomist and we offer advice on how to use these models and methods in practice and include empirical illustrations. A website provides Matlab code for carrying out Bayesian inference in these models.
Item Type:  MPRA Paper 

Original Title:  Bayesian Multivariate Time Series Methods for Empirical Macroeconomics 
English Title:  Bayesian Multivariate Time Series Methods for Empirical Macroeconomics 
Language:  English 
Keywords:  Empirical macroeconometrics, Bayesian estimation, MCMC, vector autoregressions, factor models, timevarying parameters 
Subjects:  C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C51  Model Construction and Estimation C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C50  General C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E58  Central Banks and Their Policies C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C12  Hypothesis Testing: General C  Mathematical and Quantitative Methods > C8  Data Collection and Data Estimation Methodology ; Computer Programs > C87  Econometric Software E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E52  Monetary Policy C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C15  Statistical Simulation Methods: General C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C11  Bayesian Analysis: General 
Item ID:  20125 
Depositing User:  Dimitris Korobilis 
Date Deposited:  19. Jan 2010 18:33 
Last Modified:  12. Feb 2013 22:14 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/20125 