Bayesian stochastic search for VAR model restrictions
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Publication:290981
DOI10.1016/J.JECONOM.2007.08.017zbMATH Open1418.62322OpenAlexW2083577057MaRDI QIDQ290981FDOQ290981
Authors: Edward I. George, Dongchu Sun, Shawn Ni 
Publication date: 3 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.08.017
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Cited In (36)
- Bayesian testing of restrictions on vector autoregressive models
- A Bayesian approach for data-driven dynamic equation discovery
- Joint Bayesian inference about impulse responses in VAR models
- Stochastic model specification search for time-varying parameter VARs
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- Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
- Bayesian compressed vector autoregressions
- Model averaging based on leave-subject-out cross-validation for vector autoregressions
- Large Bayesian VARMAs
- Structural analysis with multivariate autoregressive index models
- Matrix autoregressive models: generalization and Bayesian estimation
- Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
- Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
- Bayesian nonparametric sparse VAR models
- The EAS approach for graphical selection consistency in vector autoregression models
- Adaptive hierarchical priors for high-dimensional vector autoregressions
- Bayesian analysis of multivariate stochastic volatility with skew return distribution
- Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
- Restrictions on Risk Prices in Dynamic Term Structure Models
- Adaptive Shrinkage in Bayesian Vector Autoregressive Models
- Prior selection for panel vector autoregressions
- On the evolution of the monetary policy transmission mechanism
- Performance of Model Selection Criteria in Bayesian Threshold VAR (TVAR) Models
- Dynamic variable selection with spike-and-slab process priors
- Sparse seemingly unrelated regression modelling: applications in finance and econometrics
- Modeling US housing prices by spatial dynamic structural equation models
- Comparing unconstrained parametrization methods for return covariance matrix prediction
- Methods for inference in large multiple-equation Markov-switching models
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Polynomial nonlinear spatio‐temporal integro‐difference equation models
- Steady-state priors and Bayesian variable selection in VAR forecasting
- Large Bayesian SVARs with linear restrictions
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- Choosing between identification schemes in noisy-news models
- Predicting crypto-currencies using sparse non-Gaussian state space models
- Bayesian variable selection for matrix autoregressive models
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