Comparing hybrid time-varying parameter VARs

Joshua Chan and Eric Eisenstat

CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University

Abstract: Empirical questions such as whether the Phillips curve or the Okun’s law is stable can often be framed as a model comparison—e.g., comparing a vector autoregression (VAR) in which the coefficients in one equation are constant versus one that has time-varying parameters. We develop Bayesian model comparison methods to compare a class of time-varying parameter VARs we call hybrid TVP-VARs—VARs with time-varying parameters in some equations but constant coefficients in others. Using US data, we find evidence that the VAR coefficients in some, but not all, equations are time varying. Our finding highlights the empirical relevance of these hybrid TVP-VARs.

Keywords: state space; marginal likelihood; Bayesian model comparison (search for similar items in EconPapers)
JEL-codes: C11 C52 E32 E52 (search for similar items in EconPapers)
Pages: 17 pages
Date: 2018-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mac
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Citations: View citations in EconPapers (11)

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Journal Article: Comparing hybrid time-varying parameter VARs (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2018-31

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