Time-varying parameter SVAR model
The Time-Varying Parameter Structural VAR (TVP-SVAR) model extends classical structural VARs by allowing both the reduced-form coefficients and the structural impact matrix to evolve continuously over time. Estimated via Bayesian MCMC, it captures shifting transmission mechanisms and heteroscedastic volatility — making it the workhorse for empirical macroeconomics when policy regimes and economic relationships change.
Source record
Citations copied verbatim from the method’s source record. No claim-level verification is inferred from them.
- Primiceri, G. E. (2005). Time varying structural vector autoregressions and monetary policy. Review of Economic Studies, 72(3), 821–852. · DOI 10.1111/j.1467-937X.2005.00353.x
- Nakajima, J. (2011). Time-Varying Parameter VAR Model with Stochastic Volatility: An Overview of Methodology and Empirical Applications. IMES Discussion Paper Series 2011-E-9, Bank of Japan. · URL
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