Bayesian multivariate time series methods for empirical macroeconomics
Author(s)
Bibliographic Information
Bayesian multivariate time series methods for empirical macroeconomics
（Foundations and trends in econometrics, 3:4）
Now, c2010
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"This book is originally published as Foundations and trends in econometrics, Volume 3 Issues 4, ISSN: 1551-3076"--Backcover
Includes bibliographical references (p. 87-94)
Description and Table of Contents
Description
Bayesian Multivariate Time Series Methods for Empirical Macroeconomics provides a survey of the Bayesian methods used in modern empirical macroeconomics. These models have been developed to address the fact that most questions of interest to empirical macroeconomists involve several variables and must be addressed using multivariate time series methods. Many different multivariate time series models have been used in macroeconomics, but Vector Autoregressive (VAR) models have been among the most popular.
The book reviews and extends the Bayesian literature on VARs, TVP-VARs and TVP-FAVARs with a focus on the practitioner. The authors go beyond simply defining each model, but specify how to use them in practice, discuss the advantages and disadvantages of each and offer tips on when and why each model can be used.
Table of Contents
1 Introduction. 2 Bayesian VARs. 3. Bayesian State Space Modeling and Stochastic Volatility. 4. TVP-VARs. 5. Factor Methods. References
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