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MONTESVAR_MH—Monte Carlo Integration of SVAR using RW M-H
Posted: Sun Oct 08, 2023 9:44 pm
by TomDoan
MONTESVAR_MH.RPF is an example of Monte Carlo integration of a structural VAR (SVAR) using Random Walk Metropolis.
Detailed Description
Re: MONTESVAR_MH—Monte Carlo Integration of SVAR using RW M-
Posted: Tue Oct 10, 2023 2:09 pm
by abi
Dear Tom,
Is there any reference to a paper/textbook that uses the Monte Carlo Integration of SVAR model?
Re: MONTESVAR_MH—Monte Carlo Integration of SVAR using RW M-
Posted: Mon Oct 07, 2024 9:46 am
by TomDoan
abi wrote:Dear Tom,
Is there any reference to a paper/textbook that uses the Monte Carlo Integration of SVAR model?
Tao Zha has several with different types of models.
Note that different SVAR's have very different properties and can require very a great deal of experimentation to come up with a technique that works.