Bayesian stochastic search for VAR model restrictions

DOI10.1016/J.JECONOM.2007.08.017MaRDI QIDQ290981zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Markov chain Monte CarloBayesian VARstochastic search

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

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Cited in

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• 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
• Bayesian compressed vector autoregressions
• Model averaging based on leave-subject-out cross-validation for vector autoregressions
• scientific article; zbMATH DE number 7387627 (Why is no real title available?)
• Bayesian prior modeling in vector autoregressions via the Yule-Walker equations
• Large Bayesian VARMAs
• Structural analysis with multivariate autoregressive index models
• Does joint modelling of the world economy pay off? Evaluating global forecasts from a Bayesian GVAR
• Matrix autoregressive models: generalization and Bayesian estimation
• Detecting structural breaks in multivariate financial time series: evidence from hedge fund investment strategies
• Bayesian nonparametric sparse VAR models
• Adaptive hierarchical priors for high-dimensional vector autoregressions
• The EAS approach for graphical selection consistency in vector autoregression models
• Bayesian analysis of multivariate stochastic volatility with skew return distribution
• Inducing Sparsity and Shrinkage in Time-Varying Parameter Models
• Prior selection for panel vector autoregressions
• On the evolution of the monetary policy transmission mechanism
• Restrictions on Risk Prices in Dynamic Term Structure Models
• Adaptive Shrinkage in Bayesian Vector Autoregressive Models
• 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
• Methods for inference in large multiple-equation Markov-switching models
• Comparing unconstrained parametrization methods for return covariance matrix prediction
• 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
• scientific article; zbMATH DE number 1098833 (Why is no real title available?)
• Large Bayesian SVARs with linear restrictions
• 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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