论文标题
用时间不变的长期乘数估算TVP-VAR模型
Estimating TVP-VAR models with time invariant long-run multipliers
论文作者
论文摘要
本文的主要目的是开发一种方法，用于估计时间变化的参数矢量自动回归（TVP-VAR）模型，具有内源变量与外源变量变化之间的时间变化长期关系。我们提出了一个GIBBS采样方案，以估计模型参数以及时间不变的长期乘数参数。此外，我们通过根据实际GDP，实际汇率和实际石油价格的数据来分析挪威和俄罗斯经济体的例子来证明所提出的方法的适用性。我们的结果表明，将TVP-VAR模型的长期乘数纳入时间不变性约束有助于显着提高预测性能。
The main goal of this paper is to develop a methodology for estimating time varying parameter vector auto-regression (TVP-VAR) models with a timeinvariant long-run relationship between endogenous variables and changes in exogenous variables. We propose a Gibbs sampling scheme for estimation of model parameters as well as time-invariant long-run multiplier parameters. Further we demonstrate the applicability of the proposed method by analyzing examples of the Norwegian and Russian economies based on the data on real GDP, real exchange rate and real oil prices. Our results show that incorporating the time invariance constraint on the long-run multipliers in TVP-VAR model helps to significantly improve the forecasting performance.
