Bayesian stochastic search for VAR model restrictions

DOI10.1016/j.jeconom.2007.08.017zbMath1418.62322MaRDI QIDQ290981

Edward I. George, Shawn Ni, Dongchu Sun

Publication date: 3 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.017

zbMATH Keywords

Markov chain Monte Carlo; stochastic search; Bayesian VAR

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62F15: Bayesian inference

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