Time-Varying Vector Autoregressive Modei-A Survey with the Application to the Japanese Macroeconomic Data-
综述了时变向量自回归模型的结构发展和实证应用，详细解释了贝叶斯MCMC估计方法，并用日本宏观经济数据展示了该模型的优越预测性能。
The time-varying vector autoregressive (VAR) model has recently attracted attention as a time series model for the analysis of macroeconomic variables and developed in various directions. This article explains this model and surveys the recent development of its structure and empirical applications. Since this model is usually estimated using a Bayesian method via the Markov chain Monte Carlo (MCMC), we explain this estimation method in detail. We also provide empirical results based on the Japanese macroeconomic data and show the superior forecasting performance of the time-varying VAR model. (This abstract was borrowed from another version of this item.)