Cover IMF Working Papers
Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
Author:
Mr. Matteo Ciccarellinull

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and
Mr. Alessandro Rebucci
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Series:
IMF Working Papers
Volume/Issue:
Volume 2003: Issue 102
Language:
English
Publication Date:
01 May 2003
DOI:
https://doi.org/10.5089/9781451852639.001
ISBN:
9781451852639
ISSN:
1018-5941
Pages:
44
Keywords:
WP; mover accent; Bayesian VAR; Gibbs sampling; Time- Varying Reaction Function; EMS; time series; estimation procedure; VAR estimation; parameter vector; sample data; data well; estimation result; law of motion; model parameter; point estimates of the population moment; point estimate; U.S. dollar; Bayesian models; Vector autoregression; Short term interest rates; Estimation techniques; Monetary systems
Legal-disclaimer:
IMF Working Papers describe research in progress by the author(s) and are published to elicit comments and to encourage debate. The views expressed in IMF Working Papers are those of the author(s) and do not necessarily represent the views of the IMF, its Executive Board, or IMF management.
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This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative priors. We then discuss extensions of the basic model and address issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how some of the results previously presented may be applied in practice.
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Cover IMF Working Papers
IMF Working Papers
ISSN:
1018-5941
Publisher:
International Monetary Fund
Volume 2003: Issue 102