Matches in SemOpenAlex for { <https://semopenalex.org/work/W3125972882> ?p ?o ?g. }
Showing items 1 to 77 of
77
with 100 items per page.
- W3125972882 abstract "There are both theoretical and empirical reasons for believing that the parameters of macroeconomic models may vary over time. However, work with time-varying parameter models has largely involved Vector autoregressions (VARs), ignoring cointegration. This is despite the fact that cointegration plays an important role in informing macroeconomists on a range of issues. In this paper we develop time varying parameter models which permit cointegration. Time-varying parameter VARs (TVP-VARs) typically use state space representations to model the evolution of parameters. In this paper, we show that it is not sensible to use straightforward extensions of TVP-VARs when allowing for cointegration. Instead we develop a specification which allows for the cointegrating space to evolve over time in a manner comparable to the random walk variation used with TVP-VARs. The properties of our approach are investigated before developing a method of posterior simulation. We use our methods in an empirical investigation involving a permanent/transitory variance decomposition for inflation." @default.
- W3125972882 created "2021-02-01" @default.
- W3125972882 creator A5050018950 @default.
- W3125972882 creator A5066939801 @default.
- W3125972882 creator A5076036807 @default.
- W3125972882 date "2008-01-01" @default.
- W3125972882 modified "2023-09-27" @default.
- W3125972882 title "Bayesian Inference in the Time Varying Cointegration Model" @default.
- W3125972882 hasPublicationYear "2008" @default.
- W3125972882 type Work @default.
- W3125972882 sameAs 3125972882 @default.
- W3125972882 citedByCount "0" @default.
- W3125972882 crossrefType "posted-content" @default.
- W3125972882 hasAuthorship W3125972882A5050018950 @default.
- W3125972882 hasAuthorship W3125972882A5066939801 @default.
- W3125972882 hasAuthorship W3125972882A5076036807 @default.
- W3125972882 hasConcept C105795698 @default.
- W3125972882 hasConcept C107673813 @default.
- W3125972882 hasConcept C121332964 @default.
- W3125972882 hasConcept C121955636 @default.
- W3125972882 hasConcept C133029050 @default.
- W3125972882 hasConcept C145162277 @default.
- W3125972882 hasConcept C149782125 @default.
- W3125972882 hasConcept C154945302 @default.
- W3125972882 hasConcept C160234255 @default.
- W3125972882 hasConcept C162324750 @default.
- W3125972882 hasConcept C196083921 @default.
- W3125972882 hasConcept C200941418 @default.
- W3125972882 hasConcept C2776214188 @default.
- W3125972882 hasConcept C33332235 @default.
- W3125972882 hasConcept C33923547 @default.
- W3125972882 hasConcept C41008148 @default.
- W3125972882 hasConcept C89715816 @default.
- W3125972882 hasConceptScore W3125972882C105795698 @default.
- W3125972882 hasConceptScore W3125972882C107673813 @default.
- W3125972882 hasConceptScore W3125972882C121332964 @default.
- W3125972882 hasConceptScore W3125972882C121955636 @default.
- W3125972882 hasConceptScore W3125972882C133029050 @default.
- W3125972882 hasConceptScore W3125972882C145162277 @default.
- W3125972882 hasConceptScore W3125972882C149782125 @default.
- W3125972882 hasConceptScore W3125972882C154945302 @default.
- W3125972882 hasConceptScore W3125972882C160234255 @default.
- W3125972882 hasConceptScore W3125972882C162324750 @default.
- W3125972882 hasConceptScore W3125972882C196083921 @default.
- W3125972882 hasConceptScore W3125972882C200941418 @default.
- W3125972882 hasConceptScore W3125972882C2776214188 @default.
- W3125972882 hasConceptScore W3125972882C33332235 @default.
- W3125972882 hasConceptScore W3125972882C33923547 @default.
- W3125972882 hasConceptScore W3125972882C41008148 @default.
- W3125972882 hasConceptScore W3125972882C89715816 @default.
- W3125972882 hasLocation W31259728821 @default.
- W3125972882 hasOpenAccess W3125972882 @default.
- W3125972882 hasPrimaryLocation W31259728821 @default.
- W3125972882 hasRelatedWork W1491319691 @default.
- W3125972882 hasRelatedWork W1493020800 @default.
- W3125972882 hasRelatedWork W1603141414 @default.
- W3125972882 hasRelatedWork W187103792 @default.
- W3125972882 hasRelatedWork W1992003324 @default.
- W3125972882 hasRelatedWork W2088538046 @default.
- W3125972882 hasRelatedWork W2531444989 @default.
- W3125972882 hasRelatedWork W2570597612 @default.
- W3125972882 hasRelatedWork W2622126420 @default.
- W3125972882 hasRelatedWork W2908405708 @default.
- W3125972882 hasRelatedWork W2938232807 @default.
- W3125972882 hasRelatedWork W3122558148 @default.
- W3125972882 hasRelatedWork W3123236835 @default.
- W3125972882 hasRelatedWork W3124002547 @default.
- W3125972882 hasRelatedWork W3125667396 @default.
- W3125972882 hasRelatedWork W3125913924 @default.
- W3125972882 hasRelatedWork W3126130334 @default.
- W3125972882 hasRelatedWork W3164699921 @default.
- W3125972882 hasRelatedWork W3177128061 @default.
- W3125972882 hasRelatedWork W67769305 @default.
- W3125972882 isParatext "false" @default.
- W3125972882 isRetracted "false" @default.
- W3125972882 magId "3125972882" @default.
- W3125972882 workType "article" @default.