| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9686 |
| DP9686 Granger-Causal-Priority and Choice of Variables in Vector Autoregressions | |
| Bartosz Mackowiak; Marek Jarociński | |
| 发表日期 | 2013-10-13 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | A researcher is interested in a set of variables that he wants to model with a vector autoregression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in prediction and impulse response analysis. We develop a Bayesian methodology to answer this question. We rely on the idea of Granger-causal-priority, related to the well-known concept of Granger-noncausality. The methodology is simple to use, because we provide closed-form expressions for the relevant posterior probabilities. Applying the methodology to the case when the variables of interest are output, the price level, and the short-term interest rate, we find remarkably similar results for the United States and the euro area. |
| 主题 | International Macroeconomics |
| 关键词 | Bayesian model choice Granger-causal-priority Granger-noncausality Structural vector autoregression Vector autoregression |
| URL | https://cepr.org/publications/dp9686 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538522 |
| 推荐引用方式 GB/T 7714 | Bartosz Mackowiak,Marek Jarociński. DP9686 Granger-Causal-Priority and Choice of Variables in Vector Autoregressions. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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