Un Gran VAR Bayesiano para la Economia Chilena
Keywords: Bayesian VAR, forecasting, bayesian shrinkage, large cross-sections
AbstractThis article develops a Large Bayesian VAR with more than 100 variables for the Chilean economy, as Banbura, Giannone and Reichlin (2010) shows that, when the degree of shrinkage is set in relation to the cross-sectional dimension of the sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and sectoral information. The results show that the large bayesian VAR compares favorably with some univariate models. It further examines the impulse response functions to a monetary shock, as well as some sectoral shocks
How to Cite
Gonzalez, W. (1). Un Gran VAR Bayesiano para la Economia Chilena. Economic Analysis Review, 27(2), 75-120. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/rae272-3
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