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Vector autoregressi...
Vector autoregression models with skewness and heavy tails
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- Karlsson, Sune, Professor, 1960- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet
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- Mazur, Stepan, 1988- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet
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- Nguyen, Hoang, 1989- (författare)
- Örebro universitet,Handelshögskolan vid Örebro Universitet
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(creator_code:org_t)
- Örebro : Örebro University, School of Business, 2021
- Engelska 37 s.
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Serie: Working Papers, School of Business, 1403-0586 ; 8
- Relaterad länk:
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https://www.oru.se/g...
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https://urn.kb.se/re...
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Abstract
Ämnesord
Stäng
- With uncertain changes of the economic environment, macroeconomic downturns during recessions and crises can hardly be explained by a Gaussian structural shock. There is evidence that the distribution of macroeconomic variables is skewed and heavy tailed. In this paper, we contribute to the literature by extending a vector autoregression (VAR) model to account for a more realistic assumption of the multivariate distribution of the macroeconomic variables. We propose a general class of generalized hyperbolic skew Student’stdistribution with stochastic volatility for the error term in the VAR model that allows us to take into account skewness and heavy tails. Tools for Bayesian inference and model selection using a Gibbs sampler are provided. In an empirical study, we present evidence of skewness and heavy tails for monthly macroeconomic variables. The analysis also gives a clear message that skewness should be taken into account for better predictions during recessions and crises.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Nyckelord
- Vector autoregression
- Skewness and heavy tails
- Generalized hyperbolic skew Student’s t distribution
- Stochastic volatility
- Markov Chain Monte Carlo
- Statistik
- Statistics
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)