EconPapers    
Economics at your fingertips  
 

Large Bayesian VARMAs

Joshua Chan, Eric Eisenstat and Gary Koop

No 2015-06, SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE)

Abstract: Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficulties in ensuring identification and computational challenges. With the growing interest in multivariate time series models of high dimension, these problems with VARMAs become even more acute, accounting for the dominance of VARs in this field. In this paper, we develop a Bayesian approach for inference in VARMAs which surmounts these problems. It jointly ensures identification and parsimony in the context of an efficient Markov chain Monte Carlo (MCMC) algorithm. We use this approach in a macroeconomic application involving up to twelve dependent variables. We find our algorithm to work successfully and provide insights beyond those provided by VARs.

Keywords: VARMA identification; Markov Chain Monte Carlo; Bayesian; stochastic search variable selection (search for similar items in EconPapers)
Date: 2014-09-25
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
http://hdl.handle.net/10943/594
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Large Bayesian VARMAs (2016) Downloads
Working Paper: Large Bayesian VARMAs (2015) Downloads
Working Paper: Large Bayesian VARMAs (2014) Downloads
Working Paper: Large Bayesian VARMAs (2014) Downloads
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:edn:sirdps:594

Access Statistics for this paper

More papers in SIRE Discussion Papers from Scottish Institute for Research in Economics (SIRE) 31 Buccleuch Place, EH8 9JT, Edinburgh. Contact information at EDIRC.
Bibliographic data for series maintained by Research Office ().

 
Page updated 2025-03-29
Handle: RePEc:edn:sirdps:594