Likelihood-Preserving Normalization in Multiple Equation Models
By Dan Waggoner, Tao Zha. 2003
91 citations recorded by the source corpus.
Subfields: Economics and Econometrics
View Paper: https://www.semanticscholar.org/paper/3a203f75fde23f93f8eca479e206167d276f3d44
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In Economics and Econometrics
Citations in the corpus
- Modern Forecasting Models in Action: Improving Macroeconomic Analyses at Central Banks (2012, unknown): “Winkler (1981) proposes an alternative Bayesian approach which may be used to combine model-based and judgment-based forecasts.”
- Economic determinants of the nominal treasury yield curve (2007, methodology): “We compute the posterior distribution using the approach described in Evans and Marshall (2002), which extends the Bayesian methods described in Sims and Zha (1999), Zha (1999), and Waggoner and Zha (2003) in a natural way to account for uncertainty in regression (22).21”
- Effects of US quantitative easing on emerging market economies (2015, unknown): “B.1 Structural VAR for the US As the methods for the Bayesian structural VAR are well described in Sims and Zha (1998), Waggoner and Zha (2003a; 2003b) and Sims and Zha (2006b), we refer readers to these papers for details of estimation methods.”
- The systematic component of monetary policy in SVARs: An agnostic identification procedure (2015, unknown): “In addition to Restrictions 1 and 2, we impose the likelihood-preserving (LP) normalization discussed in Waggoner and Zha (2003).8 We also restrict a0,61 > 0 to ensure that we satisfy the regularity conditions for f (A0,A+) specified in Arias, Rubio-Ramirez, and Waggoner (2014).”
- Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, unknown): “While a poor choice can distort statistical inference of impulse responses (Waggoner and Zha, 2003; Hamilton et al. , 2007), the theory developed in this paper works for any choice of normalization.”