EconPapers    
Economics at your fingertips  
 

Sequential Bayesian Inference for Vector Autoregressions with Stochastic Volatility

Mark Bognanni and John Zito

No 19-29, Working Papers from Federal Reserve Bank of Cleveland

Abstract: We develop a sequential Monte Carlo (SMC) algorithm for Bayesian inference in vector autoregressions with stochastic volatility (VAR-SV). The algorithm builds particle approximations to the sequence of the model’s posteriors, adapting the particles from one approximation to the next as the window of available data expands. The parallelizability of the algorithm’s computations allows the adaptations to occur rapidly. Our particular algorithm exploits the ability to marginalize many parameters from the posterior analytically and embeds a known Markov chain Monte Carlo (MCMC) algorithm for the model as an effective mutation kernel for fighting particle degeneracy. We show that, relative to using MCMC alone, our algorithm increases the precision of inference while reducing computing time by an order of magnitude when estimating a medium-scale VAR-SV model.

Keywords: Vector autoregressions; sequential Monte Carlo; Rao-Blackwellization; particle filter; stochastic volatility (search for similar items in EconPapers)
JEL-codes: C11 C32 C51 E17 (search for similar items in EconPapers)
Pages: 56
Date: 2019-12-16
New Economics Papers: this item is included in nep-cmp, nep-ecm, nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.26509/frbc-wp-201929

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwq:86647

Ordering information: This working paper can be ordered from

DOI: 10.26509/frbc-wp-201929

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Cleveland Contact information at EDIRC.
Bibliographic data for series maintained by 4D Library ().

 
Page updated 2025-03-19
Handle: RePEc:fip:fedcwq:86647