Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/333567 
Erscheinungsjahr: 
2025
Schriftenreihe/Nr.: 
WIFO Working Papers No. 714
Verlag: 
Austrian Institute of Economic Research (WIFO), Vienna
Zusammenfassung: 
Model misspecification in multivariate econometric models can strongly influence estimates of quantities of interest such as structural parameters, forecast distributions or responses to structural shocks, even more so if higher-order forecasts or responses are considered, due to parameter convolution. We propose a simple method for addressing these specification issues in the context of Bayesian VARs. Our method, called coarsened Bayesian VARs (cBVARs), replaces the exact likelihood with a coarsened likelihood that takes into account that the model might be misspecified along important but unknown dimensions. Since endogenous variables in a VAR can feature different degrees of misspecification, our model allows for this and automatically detects the degree of misspecification. The resulting cBVARs perform well in simulations for several types of misspecification. Applied to US data, cBVARs improve point and density forecasts compared to standard BVARs.
Schlagwörter: 
Approximate inference
Asymmetric Conjugate Prior
Bayesian VARs
likelihood tempering
JEL: 
C11
C32
C53
URL der Erstveröffentlichung: 
Dokumentart: 
Working Paper

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