Un Gran VAR Bayesiano para la Economia Chilena

Wildo Gonzalez P. ()

Revista de Analisis Economico – Economic Analysis Review, 2012, vol. 27, issue 2, 75-119

Abstract: This article develops a Large Bayesian VAR with more than 100 variables for the Chilean economy, as Banbura, Giannone and Reichlin (2010) shows that, when the degree of shrinkage is set in relation to the cross-sectional dimension of the sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and sectoral information. The results show that the large bayesian VAR compares favorably with some univariate models. It further examines the impulse response functions to a monetary shock, as well as some sectoral shocks

Keywords: Bayesian VAR; forecasting; bayesian shrinkage; large cross-sections (search for similar items in EconPapers)
JEL-codes: C11 C13 C33 C53 (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.rae-ear.org/index.php/rae/article/view/364 (application/pdf)

Related works:
Working Paper: Un Gran VAR Bayesiano para la Economía Chilena (2012)
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:ila:anaeco:v:27:y:2012:i:2:p:75-119

Ordering information: This journal article can be ordered from

Access Statistics for this article

Revista de Analisis Economico – Economic Analysis Review is currently edited by Carlos Ponce

More articles in Revista de Analisis Economico – Economic Analysis Review from Universidad Alberto Hurtado/School of Economics and Business Contact information at EDIRC.
Bibliographic data for series maintained by Mauricio Tejada ().