Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/100783 
Erscheinungsjahr: 
2000
Schriftenreihe/Nr.: 
Working Paper No. 2000-3
Verlag: 
Federal Reserve Bank of Atlanta, Atlanta, GA
Zusammenfassung: 
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.
Schlagwörter: 
Econometric models
Vector autoregression
Monetary policy
Time-series analysis
Dokumentart: 
Working Paper

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