A Bayesian analysis of normalized VAR models

DOI10.1016/J.JMVA.2013.11.004zbMath1278.62042OpenAlexW1977992865MaRDI QIDQ392083

Dongchu Sun, Shawn Ni

Publication date: 13 January 2014

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2013.11.004

zbMATH Keywords

business cyclesimpulse responseMcMCidentified VAR

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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