ITEM METADATA RECORD
Title: Detecting time variation in the price puzzle: an improved prior choice for time varying parameter VAR models
Authors: Reusens, Peter
Croux, Christophe
Issue Date: 2014
Publisher: KU Leuven - Faculty of Economics and Business
Series Title: FEB Research Report KBI_1429
Abstract: This paper compares Bayesian estimators with different prior choices for the time variation of the coefficients of Time Varying Parameter Vector Autoregression models using Monte Carlo simulations. Since the commonly used prior choice only allows for a tiny amount of time variation, less informative priors are proposed. Additional empirical evidence on the time varying response of ination to an interest rate shock is provided for USA. While a major and statistically significant `price puzzle' is detected for the period 1972-1979, the estimated response of ination to an interest rate shock is negative for most other time periods.
Publication status: published
KU Leuven publication type: IR
Appears in Collections:Research Center for Operations Research and Business Statistics (ORSTAT), Leuven

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