Adaptive hierarchical priors for high-dimensional vector autoregressions
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Publication:2323380
DOI10.1016/j.jeconom.2019.04.029zbMath1452.62653OpenAlexW2945923981MaRDI QIDQ2323380
Davide Pettenuzzo, Dimitris Korobilis
Publication date: 2 September 2019
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://eprints.gla.ac.uk/191578/1/191578.pdf
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)
Related Items (7)
Bayesian Approaches to Shrinkage and Sparse Estimation ⋮ TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES ⋮ Asymmetric conjugate priors for large Bayesian VARs ⋮ Bayesian MIDAS penalized regressions: estimation, selection, and prediction ⋮ Bayesian nonparametric sparse VAR models ⋮ Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors ⋮ Vector autoregressive models with spatially structured coefficients for time series on a spatial grid
Uses Software
Cites Work
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- Time Varying Structural Vector Autoregressions and Monetary Policy
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