Please use this identifier to cite or link to this item:
Waggoner, Daniel F.
Zha, Tao
Year of Publication: 
Series/Report no.: 
Working Paper, Federal Reserve Bank of Atlanta 2000-3
Many economic applications call for simultaneous equations VAR modeling. We show that the existing importance sampler can be prohibitively inefficient for this type of models. We develop a Gibbs simulator that works for both simultaneous and recursive VAR models with a much broader range of linear restrictions than those in the existing literature. We show that the required computation is of an SUR type, and thus our method can be implemented cheaply even for large systems of multiple equations.
Econometric models
Vector autoregression
Monetary policy
Time-series analysis
Document Type: 
Working Paper

Files in This Item:
383.73 kB

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.