Bayesian Graphical Models for Structural Vector Autoregressive Processes
Daniel Felix Ahelegbey (),
Monica Billio () and
Roberto Casarin ()
No 2012:36, Working Papers from Department of Economics, University of Venice "Ca' Foscari"
Vector autoregressive models have widely been applied in macroeconomics and macroeconometrics to estimate economic relationships and to empirically assess theoretical hypothesis. To achieve the latter, we propose a Bayesian inference approach to analyze the dynamic interactions among macroeconomics variables in a graphical vector autoregressive model. The method decomposes the structural model into multivariate autoregressive and contemporaneous networks that can be represented in the form of a directed acyclic graph. We then simulated the networks with an independent sampling scheme based on a single-move Markov Chain Monte Carlo (MCMC) approach. We evaluated the efficiency of our inference procedure with a synthetic data and an empirical assessment of the business cycles hypothesis.
Keywords: Bayesian Graphical models; Markov Chain Monte Carlo; Structural Vector Autoregression; Directed Acyclic Graph; Bayesian Inference; Dynamic Bayesian Network. (search for similar items in EconPapers)
JEL-codes: C11 C15 C53 E17 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (11) Track citations by RSS feed
Downloads: (external link)
http://www.unive.it/pag/fileadmin/user_upload/dipa ... io_casarin_36_12.pdf First version, 2012 (application/pdf)
Journal Article: Bayesian Graphical Models for STructural Vector Autoregressive Processes (2016)
Working Paper: HIERARCHICAL GRAPHICAL MODELS, WITH APPLICATION TO SYSTEMIC RISK (2014)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:ven:wpaper:2012:36
Access Statistics for this paper
More papers in Working Papers from Department of Economics, University of Venice "Ca' Foscari" Contact information at EDIRC.
Series data maintained by Geraldine Ludbrook ().