A Bayesian Approach to Modelling Graphical Vector Autoregressions

DOI10.1111/j.1467-9892.2005.00460.xzbMath1113.62098MaRDI QIDQ3440746

Jukka Corander, Mattias Villani

Publication date: 29 May 2007

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://www.riksbank.com/upload/WorkingPapers/WP_171.pdf

zbMATH Keywords

modelling; graphical vector autoregressions; lag-length selection

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

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

62P12: Applications of statistics to environmental and related topics

62F15: Bayesian inference

Related Items

Bayesian learning of graphical vector autoregressions with unequal lag-lengths

Cites Work

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