Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/210430 
Year of Publication: 
2018
Series/Report no.: 
Working Paper No. 875
Publisher: 
Queen Mary University of London, School of Economics and Finance, London
Abstract: 
In this paper we extend the Bayesian Proxy VAR to incorporate time variation in the parameters. A Gibbs sampling algorithm is provided to approximate the posterior distributions of the model's parameters. Using the proposed algorithm, we estimate the time-varying effects of taxation shocks in the US and show that there is limited evidence for a structural change in the tax multiplier.
Subjects: 
Time-Varying parameters
Stochastic volatility
Proxy VAR
tax shocks
JEL: 
C2
C11
E3
Document Type: 
Working Paper

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