Bayesian nonparametric vector autoregressive models

DOI10.1016/j.jeconom.2017.11.009zbMath1386.62075OpenAlexW3123925750MaRDI QIDQ1706488

Maria Kalli, Jim E. Griffin

Publication date: 22 March 2018

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2017.11.009

zbMATH Keywords

Markov chain Monte CarloDirichlet process priorvector autoregressive modelsinfinite mixtures

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84)

Related Items (11)

Inference in Bayesian additive vector autoregressive tree models ⋮ Autoregressive density modeling with the Gaussian process mixture transition distribution ⋮ Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models ⋮ Discussion of ``Nonparametric Bayesian inference in applications: Bayesian nonparametric methods in econometrics ⋮ Dependent Modeling of Temporal Sequences of Random Partitions ⋮ A scalable Bayesian nonparametric model for large spatio-temporal data ⋮ TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES ⋮ Bayesian nonparametric density autoregression with lag selection ⋮ Bayesian Nonparametric Panel Markov-Switching GARCH Models ⋮ Hierarchical species sampling models ⋮ Bayesian nonparametric sparse VAR models

Uses Software

• bvarsv

Cites Work

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