Bayesian time series in Stata 17

David Schenck
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David Schenck: StataCorp

Swiss Stata Conference 2022 from Stata Users Group

Abstract: Stata 17 introduced Bayesian support for several multivariate time-series commands. In this presentation, I will discuss Bayesian vector autoregressive models and Bayesian DSGE models. Bayesian estimation is well suited to these models because economic considerations often impose structure that is captured well by informative priors. I will describe the main features of these commands, as well as Bayesian diagnostics, posterior hypothesis tests, predictions, impulse–response functions, and forecasts.

Date: 2022-11-30
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http://repec.org/csug2022/Schenck-Bern2022.pdf

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Persistent link: https://EconPapers.repec.org/RePEc:boc:csug22:08

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