Tractable Bayesian estimation of smooth transition vector autoregressive models

Bruns, Martin and Piffer, Michele (2024) Tractable Bayesian estimation of smooth transition vector autoregressive models. The Econometrics Journal, 27 (3). 343–361. ISSN 1368-4221

PDF (BrunsPiffer_forEconometricsJ_R2) - Accepted Version Restricted to Repository staff only until 16 May 2026. Available under License Unspecified licence. Request a copy

Abstract

We develop a tractable way of estimating the parameters ruling the nonlinearity in the popular Smooth Transition VAR model, and identify structural shocks using external instruments. This jointly offers an alternative to the option of identifying shocks recursively and calibrating key parameters. In an illustration, we show that monetary policy shocks generate larger effects on economic activity during economic expansions compared to economic recessions. We then document that calibrating rather than estimating the parameters ruling the nonlinearity of the model can lead to values for which the key results are lost. This suggests caution in the calibration of these parameters.

Item Type:	Article
Uncontrolled Keywords:	bayesian econometrics,nonlinear models,monetary policy shocks,proxy svars,economics and econometrics ,/dk/atira/pure/subjectarea/asjc/2000/2002
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	LivePure Connector
Date Deposited:	27 Jun 2023 09:31
Last Modified:	11 Nov 2024 09:30
URI:	https://ueaeprints.uea.ac.uk/id/eprint/92503
DOI:	10.1093/ectj/utae009

Actions (login required)

View Item