Comparing hybrid time-varying parameter VARs

Chan, JCC; Eisenstat, E

Comparing hybrid time-varying parameter VARs

Chan, JCC

Eisenstat, E

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Publication Type:: Journal Article
Citation:: Economics Letters, 2018, 171 pp. 1 - 5
Issue Date:: 2018-10-01

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Field	Value	Language
dc.contributor.author	Chan, JCC https://orcid.org/0000-0003-3632-128X	en_US
dc.contributor.author	Eisenstat, E	en_US
dc.date.available	2020-10-01T19:04:49Z
dc.date.issued	2018-10-01	en_US
dc.identifier.citation	Economics Letters, 2018, 171 pp. 1 - 5	en_US
dc.identifier.issn	0165-1765	en_US
dc.identifier.uri	http://hdl.handle.net/10453/130080
dc.description.abstract	© 2018 Elsevier B.V. Empirical questions such as whether the Phillips curve or the Okun's law is stable can often be framed as a model comparison—e.g., comparing a vector autoregression (VAR) in which the coefficients in one equation are constant versus one that has time-varying parameters. We develop Bayesian model comparison methods to compare a class of time-varying parameter VARs we call hybrid TVP-VARs—VARs with time-varying parameters in some equations but constant coefficients in others. Using US data, we find evidence that the VAR coefficients in some, but not all, equations are time varying. Our finding highlights the empirical relevance of these hybrid TVP-VARs.	en_US
dc.relation.ispartof	Economics Letters	en_US
dc.relation.isbasedon	10.1016/j.econlet.2018.06.031	en_US
dc.rights	info:eu-repo/semantics/openAccess
dc.subject.classification	Economics	en_US
dc.title	Comparing hybrid time-varying parameter VARs	en_US
dc.type	Journal Article
utslib.citation.volume	171	en_US
utslib.for	1403 Econometrics	en_US
utslib.for	14 Economics	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
pubs.organisational-group	/University of Technology Sydney/Faculty of Business/Economics Discipline
utslib.copyright.status	open_access	*
pubs.publication-status	Published	en_US
pubs.volume	171	en_US

Abstract:

© 2018 Elsevier B.V. Empirical questions such as whether the Phillips curve or the Okun's law is stable can often be framed as a model comparison—e.g., comparing a vector autoregression (VAR) in which the coefficients in one equation are constant versus one that has time-varying parameters. We develop Bayesian model comparison methods to compare a class of time-varying parameter VARs we call hybrid TVP-VARs—VARs with time-varying parameters in some equations but constant coefficients in others. Using US data, we find evidence that the VAR coefficients in some, but not all, equations are time varying. Our finding highlights the empirical relevance of these hybrid TVP-VARs.

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http://hdl.handle.net/10453/130080