Bayesian stochastic search for VAR model restrictions (Q290981): Difference between revisions

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+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
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+F15
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+6589320
@@ Property / zbMATH DE Number: 6589320 / rank @@
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@@ Property / zbMATH Keywords @@
+Bayesian VAR
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@@ Property / zbMATH Keywords @@
+stochastic search
@@ Property / zbMATH Keywords: stochastic search / rank @@
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@@ Property / zbMATH Keywords @@
+Markov chain Monte Carlo
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+MaRDI publication profile
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+https://doi.org/10.1016/j.jeconom.2007.08.017
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+W2083577057
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+Goodness of prediction fit
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+Q4379566
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+Identification of linear stochastic models with covariance restrictions
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+Multivariate Bayesian Variable Selection and Prediction
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+Marginal Likelihood from the Gibbs Output
@@ Property / cites work: Marginal Likelihood from the Gibbs Output / rank @@
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+Model uncertainty
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+A Bayesian approach to dynamic macroeconomics
@@ Property / cites work: A Bayesian approach to dynamic macroeconomics / rank @@
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@@ Property / cites work @@
+Forecasting and conditional projection using realistic prior distributions
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@@ Property / cites work @@
+Bayesian Estimation in Multivariate Analysis
@@ Property / cites work: Bayesian Estimation in Multivariate Analysis / rank @@
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@@ Property / cites work @@
+The Variable Selection Problem
@@ Property / cites work: The Variable Selection Problem / rank @@
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+Q4344410
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@@ Property / cites work @@
+Q5726065
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+Model Selection and Accounting for Model Uncertainty in Graphical Models Using Occam's Window
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+Joint mean-covariance models with applications to longitudinal data: unconstrained parameterisation
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@@ Property / cites work @@
+Parsimonious Covariance Matrix Estimation for Longitudinal Data
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@@ Property / cites work @@
+A Gibbs sampler for structural vector autoregressions
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@@ Property / cites work @@
+Bayesian forecasting and dynamic models
@@ Property / cites work: Bayesian forecasting and dynamic models / rank @@
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+Estimation of a covariance matrix using the reference prior
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@@ Property / cites work @@
+Bayesian Analysis of the Regression Model With Autocorrelated Errors
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+Simplicity, Inference and Modelling
@@ Property / cites work: Simplicity, Inference and Modelling / rank @@
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+Publication:290981