2. Econometric Model and Specifications
2.1. Model Estimation
2.2. Model Features
3. Dynamic Analysis
3.1. Hierarchical Structure for Time-Varying Coefficient Vectors
3.2. Prior Assumptions
3.3. Posterior Distributions and MCMC Implementation
4. Empirical Application
4.1. The Data and the Empirical Model
4.2. Structural Spillovers and Shock Transmission
4.3. Heterogeneity and Interactions during the Crisis Period and Post-Crisis Consolidation
5. Concluding Remarks
Conflicts of Interest
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Hidden or Latent factors are variables that are not directly observed but are rather inferred from other variables that are observed and, hence, directly measured.
To be more precise, if the elements of , , and are stacked over i, it is possible to obtain matrices that are not block-diagonal for at least some l.
The vec operator transforms a matrix into a vector by stacking the columns of the matrix, one underneath the other.
A proxy variable is an easily measurable variable that is used in place of a variable that cannot be (directly) measured or is difficult to measure.
The Wishart distribution is a multivariate extension of distribution and, in Bayesian statistics, corresponds to the conjugate prior of the inverse-covariance matrix of a multivariate normal random vector.
The Gamma Distribution is a two-parameter family of continuous probability distributions that provides the probabilities of occurrence of different possible outcomes in an experiment.
These implementations do not allow for the use of the Minnesota prior since its covariance matrix is written in terms of blocks that vary across equations.
The component corresponds to the sum of and .
The conditional projection for output growth is the one that the model would have obtained over the same period conditionally on the actual path of unexpected shock for that period.
The unconditional projection is the one that the model would obtain for output growth for that period only on the basis of historical information, and it is consistent with a model-based forecast path for the other variables.
|Test||Test Statistics||Degrees of Freedom||p-Value|
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