Time-Varying Vector Autoregressive Model - A Survey with the Application to the Japanese Macroeconomic Data -

Jouchi Nakajima and Toshiaki Watanabe

Global COE Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: The time-varying vector autoregressive (VAR) model has recently attracted attention as a time series model for the analysis of macroeconomic variables and developed in various directions. This article explains this model and surveys the recent development of its structure and empirical applications. Since this model is usually estimated using a Bayesian method via the Markov chain Monte Carlo (MCMC), we explain this estimation method in detail. We also provide empirical results based on the Japanese macroeconomic data and show the superior forecasting performance of the time-varying VAR model.

JEL-codes: C11 C15 C32 C51 C52 E52 (search for similar items in EconPapers)
Date: 2012-04
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http://gcoe.ier.hit-u.ac.jp/research/discussion/2008/pdf/gd12-232.pdf (application/pdf)

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Journal Article: Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data- (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:hst:ghsdps:gd12-232

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