Large Bayesian VARMAs

Chan, Joshua C.C. and Eisenstat, Eric and Koop, Gary (2016) Large Bayesian VARMAs. Journal of Econometrics, 192 (2). ISSN 0304-4076

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    Abstract

    Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization concerns, difficulties in ensuring identification and computational challenges. With the growing interest in multivariate time series models of high dimension, these problems with VARMAs become even more acute, accounting for the dominance of VARs in this field. In this paper, we develop a Bayesian approach for inference in VARMAs which surmounts these problems. It jointly ensures identification and parsimony in the context of an efficient Markov chain Monte Carlo (MCMC) algorithm. We use this approach in a macroeconomic application involving up to twelve dependent variables. We find our algorithm to work successfully and provide insights beyond those provided by VARs.

    Creators(s): Chan, Joshua C.C., Eisenstat, Eric and Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X;
    Item type:Article
    ID code:56465
    Keywords:VARMA identification, Markov chain Monte Carlo, Bayesian, stochastic search variable selection, Economic Theory, Economics, Econometrics and Finance(all)
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:23 May 2016 09:32
    Last modified:09 Jul 2020 02:21
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/56465
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