Panel Bayesian VAR Modeling for Policy and Forecasting when dealing with confounding and latent effects
Journal of Statistical and Econometric Methods, 2019, vol. 8, issue 1, 1
The paper develops empirical implementations of the standard time varyingÂ Panel Bayesian VAR model to deal with confounding and latentÂ effects. Bayesian computations and mixed hierarchical distributions areÂ used to generate posteriors of conditional impulse responses and conditionalÂ forecasts. An empirical application to Eurozone countries illustratesÂ the functioning of the model. A survey on policy recommendationsÂ and business cycles convergence are also conducted. The paperÂ would enhance the more recent studies to evaluate idiosyncratic businessÂ cycles, policy-making, and structural spillovers forecasting. TheÂ analysis confirms the importance to separate common shocks from propagationÂ of country- and variable-specific shocks.Mathematics Subject Classification: 62C12; 62F15; 62P20Keywords: Hierarchical Mixture Distributions in Normal Linear Model;Bayesian Model Averaging; Panel VAR; Forecasting; Structural Spillovers; MCMC Implementations.
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