Bayesian nonparametric sparse VAR models

DOI10.1016/j.jeconom.2019.04.022zbMath1452.62883arXiv1608.02740WikidataQ128006278 ScholiaQ128006278MaRDI QIDQ2323368

Roberto Casarin, Luca Rossini, Monica Billio

Publication date: 2 September 2019

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

Full work available at URL: https://arxiv.org/abs/1608.02740

zbMATH Keywords

connectedness; Bayesian nonparametrics; Bayesian model selection; shrinkage; multilayer networks; network communities; large vector autoregression

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G05: Nonparametric estimation

62F15: Bayesian inference

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Uses Software

• HdBCS

Cites Work

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