Diagnostic analystics in the Bayesian vector autoregressive model-Reference-Cited by-同舟云学术

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Diagnostic analystics in the Bayesian vector autoregressive model

Published:2024-09-12 Issue: Volume: Page:1-17
ISSN:0094-9655
Container-title:Journal of Statistical Computation and Simulation
language:en
Short-container-title:Journal of Statistical Computation and Simulation

Author:

Liu Yonghui¹,Yao Zhao²,Wang Qingrui³,Hao Chengcheng¹,Liu Shuangzhe⁴^ORCID

Affiliation:

1. School of Statistics and Information, Shanghai University of International Business and Economics, Shanghai, People's Republic of China

2. School of Economics, Shanghai University of Finance and Economics, Shanghai, People's Republic of China

3. School of Statistics & Management, Shanghai University of Finance and Economics, Shanghai, People's Republic of China

4. Faculty of Science and Technology, University of Canberra, Canberra, Australia

Funder

National Social Science Fund of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/00949655.2024.2400524

Reference43 articles.

1. Macroeconomics and Reality

2. Tsay RS. Multivariate time series analysis: with R and financial applications. New York: Wiley; 2014.

3. Spatial Vector Autoregressions

4. GMM Estimation of Non-Gaussian Structural Vector Autoregression

5. Time Varying Structural Vector Autoregressions and Monetary Policy

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