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Time-Varying Parameter Vector Autoregressions: Specification, Estimation, and an Application
16 references·6 citing·45 second hop
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this work references cited by second hop

References

  • 1980Macroeconomics and Reality12,826 cited
  • 2005Time Varying Structural Vector Autoregressions and Monetary Policy3,044 cited
  • 1998Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models2,265 cited
  • 1998Monetary Policy Shocks: What Have We Learned and to What End?2,186 cited
  • 2006Were There Regime Switches in U.S. Monetary Policy?1,607 cited
  • 2002Has the Business Cycle Changed and Why?1,515 cited
  • 2004Testing for Indeterminacy: An Application to U.S. Monetary Policy868 cited
  • 2010Bayesian Multivariate Time Series Methods for Empirical Macroeconomics644 cited
  • 2002Has the Business Cycle Changed and Why?561 cited
  • 2007ABCs (and Ds) of Understanding VARs480 cited
  • 2011Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications402 cited
  • 2015Time Varying Structural Vector Autoregressions and Monetary Policy: A Corrigendum347 cited
  • 2009VAR Analysis and the Great Moderation293 cited
  • 2008Structural changes in the US economy: Is there a role for monetary policy?227 cited
  • 2009Bayesian Multivariate Time Series Methods for Empirical Macroeconomics207 cited

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  • 1997Bayesian Vector Autoregressions with Stochastic Volatility158 cited
  • Cited by

    • 2018Bayesian Vector Autoregressions30 cited
    • 2020Unemployment Rate Benchmarks21 cited
    • 2023House Bubbles, global imbalances and monetary policy in the US19 cited
    • 2018Monetary policy transmission in systemically important economies and China’s impact19 cited
    • 2019The transition of China's monetary policy regime: Before and after the four trillion RMB stimulus16 cited
    • 2019Tips from TIPS: Update and Discussions13 cited