Forecasting in vector autoregressions with many predictors
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Publication:3572033
DOI10.1016/S0731-9053(08)23012-4zbMath1189.91152OpenAlexW1623043652MaRDI QIDQ3572033
Publication date: 30 June 2010
Published in: Bayesian Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0731-9053(08)23012-4
Factor analysis and principal components; correspondence analysis (62H25) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian problems; characterization of Bayes procedures (62C10) Statistical methods; economic indices and measures (91B82)
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Prior selection for panel vector autoregressions ⋮ A new posterior sampler for Bayesian structural vector autoregressive models ⋮ Steady-state priors and Bayesian variable selection in VAR forecasting ⋮ Methods for computing marginal data densities from the Gibbs output ⋮ Convergence analysis of a collapsed Gibbs sampler for Bayesian vector autoregressions
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