[1] KOOP G, KOROBILIS D. Large time-varying parameter VARs[J]. Journal of Econometrics, 2013, 177(2): 185–198. DOI:10.1016/j.jeconom.2013.04.007.
[2] NAKAJIMA J. Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications[J]. Working Papers, 2011(November 2011): 107–142.
[3] PRIMICERI G E. Time Varying Structural Vector Autoregressions and Monetary Policy[J/OL]. The Review of Economic Studies, 2005, 72(3): 821–852. papers://8da4c6f7-0d59-4a65-81cc-71a14ebde18a/Paper/p521. DOI:10.1111/j.1467-937X.2005.00353.x.
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TVP-VAR.zip
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本附件包括:
- Koop, Korobilis - 2013 - Large time-varying parameter VARs-annotated.pdf
- Nakajima - 2011 - Time-Varying Parameter VAR Model with Stochastic Volatility An Overview of Methodology and Empirical Applications.pdf
- Primiceri - 2005 - Time Varying Structural Vector Autoregressions and Monetary Policy-annotated.pdf