Prior selection for panel vector autoregressions

DOI10.1016/j.csda.2016.02.011zbMath1466.62117OpenAlexW1869633147MaRDI QIDQ1659064

Dimitris Korobilis

Publication date: 15 August 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/17944/1/MIXLASSO_PVAR.pdf

zbMATH Keywords

forecastingBayesian model selectionshrinkagespike and slab priorslarge vector autoregression

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

Related Items (4)

Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs ⋮ A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies ⋮ Bayesian nonparametric sparse VAR models

Cites Work

• Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
• Bayesian stochastic search for VAR model restrictions
• Forecasting in vector autoregressions with many predictors
• Bayesian Selection and Clustering of Polymorphisms in Functionally Related Genes

This page was built for publication: Prior selection for panel vector autoregressions