Bayesian Vector Autoregressions

Miranda-Agrippino, Silvia; Ricco, G.

doi:10.2139/ssrn.3253086

Cited by 15 publications

(4 citation statements)

References 137 publications

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“…That is, for instance, the current disease status of a subject would be modeled using the disease status at previous time points. Reliable estimation of the model parameters can be challenging, especially with small datasets, 13 which is the case of the current study. Bayesian VAR models use prior information about model parameters 14 to help with the stabilization of the parameter estimation, a task that is sometimes difficult for classical VAR models.…”

Section: Methodsmentioning

confidence: 99%

Bayesian multivariate longitudinal model for immune responses to Leishmania: A tick‐borne co‐infection study

Pabon-Rodriguez

Brown

Scorza

et al. 2023

Statistics in Medicine

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While many Bayesian state‐space models for infectious disease processes focus on population infection dynamics (eg, compartmental models), in this work we examine the evolution of infection processes and the complexities of the immune responses within the host using these techniques. We present a joint Bayesian state‐space model to better understand how the immune system contributes to the control of Leishmania infantum infections over the disease course. We use longitudinal molecular diagnostic and clinical data of a cohort of dogs to describe population progression rates and present evidence for important drivers of clinical disease. Among these results, we find evidence for the importance of co‐infection in disease progression. We also show that as dogs progress through the infection, parasite load is influenced by their age, ectoparasiticide treatment status, and serology. Furthermore, we present evidence that pathogen load information from an earlier point in time influences its future value and that the size of this effect varies depending on the clinical stage of the dog. In addition to characterizing the processes driving disease progression, we predict individual and aggregate patterns of Canine Leishmaniasis progression. Both our findings and the application to individual‐level predictions are of direct clinical relevance, presenting possible opportunities for application in veterinary practice and motivating lines of additional investigation to better understand and predict disease progression. Finally, as an important zoonotic human pathogen, these results may support future efforts to prevent and treat human Leishmaniosis.

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Section: Methodsmentioning

confidence: 99%

Bayesian multivariate longitudinal model for immune responses to Leishmania: A tick‐borne co‐infection study

Pabon-Rodriguez

Brown

Scorza

et al. 2023

Statistics in Medicine

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“…Kadiyala and Karlsson (1997) andMiranda-Agrippino and Ricco (2018) provide another example where asymmetric treatment of the endogenous variables in a VAR is appropriate and in line with prior beliefs: theory suggests that money neutrality implies that the money supply does not Granger-cause real output.ECB Working Paper Series No 2730 / September 2022…”

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confidence: 63%

A New Optimum Currency Area Index for the Euro Area

Kunovac¹,

Palenzuela²,

Sun

2022

SSRN Journal

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“…Bayesian Vector Auto-regressions (VARs) are linear multivariate time-series models able to capture the joint dynamics of multiple time series (Miranda-Agrippin, S. and Ricco, G.; The earliest studies employing Bayesian VARs (BVARs) to macroeconomic forecasting are found in Letterman (1979) and Doan et al (1984) Since then, VARs and BVARs have been a standard macro-econometric tool routinely used by scholars and policy makers for structural analysis, forecasting and scenario analysis in an ever growing number of applications.…”

Section: Econometrics Analysismentioning

confidence: 99%

COVID-19 Pandemic Uncertainty Shock Impact on Macroeconomic Stability in Ethiopia

Demiessie

2020

J. of Adv. Stud. Finan.

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This study investigated the impact of COVID-19 pandemic uncertainty shock on the macroeconomic stability in Ethiopia in the short run period. The World Pandemic Uncertainty Index (WPUI) was used a proxy variable to measure COVID-19 Uncertainty shock effect. The pandemic effect on core macroeconomic variables like investment, employment, prices (both food & non-food prices), import, export and fiscal policy indicators was estimated and forecasted using Dynamic Stochastic General Equilibrium (DSGE) Model. The role of fiscal policy in mitigating the shock effect of coronavirus pandemic on macroeconomic stability is also investigated. The finding of the study reveals that the COVID-19 impact lasts at least three years to shake the economy of Ethiopia. Given that the Ethiopian economy heavily relies on import to supply the bulk of its consumption and investment goods, COVID-19 uncertainty effect starts as supply chain shock, whose effect transmitted into the domestic economy via international trade channel. The pandemic uncertainty shock effect is also expected to quickly transcend to destabilize the economy via aggregate demand, food & non-food prices, investment, employment and export shocks. The overall impact of COVID-19 pandemic uncertainty shock is interpreted into the economy by resulting under consumption at least in the next three years since 2020. Therefore, the government is expected to enact incentives/policy directions which can boost business confidence. A managed expansionary fiscal policy is found key to promote investment, employment and to stabilize food & non-food prices. A particular role of fiscal policy was identified to stabilizing food, transport and communication prices. The potency of fiscal policies in stabilizing food, transport and communication prices go in line with the prevailing reality in Ethiopia where government has strong hands to control those markets directly and/or indirectly. This suggests market failure featuring COVID-19 time, calling for managed interventions of governments to promote market stabilities. More importantly, price stabilization policies of the government can have spillover effects in boosting aggregate demand by spurring investments (and widening employment opportunities) in transport/logistics, hotel & restaurant, culture & tourism and export sectors in particular.

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Bayesian Vector Autoregressions

Abstract: This article reviews Bayesian inference methods for Vector Autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

Cited by 15 publications

References 137 publications

Bayesian multivariate longitudinal model for immune responses to Leishmania: A tick‐borne co‐infection study

Bayesian multivariate longitudinal model for immune responses to Leishmania: A tick‐borne co‐infection study

A New Optimum Currency Area Index for the Euro Area

COVID-19 Pandemic Uncertainty Shock Impact on Macroeconomic Stability in Ethiopia

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