Bayesian stochastic search for VAR model restrictions
From MaRDI portal
Publication:290981
DOI10.1016/j.jeconom.2007.08.017zbMath1418.62322MaRDI QIDQ290981
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
62P20: Applications of statistics to economics
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F15: Bayesian inference
Related Items
Polynomial nonlinear spatio‐temporal integro‐difference equation models, Bayesian testing of restrictions on vector autoregressive models, On the evolution of the monetary policy transmission mechanism, Modeling US housing prices by spatial dynamic structural equation models, Sparse seemingly unrelated regression modelling: applications in finance and econometrics