Bayesian testing of restrictions on vector autoregressive models

DOI10.1016/J.JSPI.2012.04.019zbMATH Open1335.62147OpenAlexW1997911057MaRDI QIDQ453023FDOQ453023

Authors: Dongchu Sun, Shawn Ni 

Publication date: 18 September 2012

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2012.04.019

Recommendations

• Bayesian analysis of vector-autoregressive models with noninformative priors.
• Bayesian stochastic search for VAR model restrictions
• A Bayesian analysis of normalized VAR models
• Sign restrictions, structural vector autoregressions, and useful prior information
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models

zbMATH Keywords

MCMCBayes factorBayesian VAR

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites Work

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• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
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Cited In (4)

• Bayesian stochastic search for VAR model restrictions
• Bayesian analysis of vector-autoregressive models with noninformative priors.
• Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models
• A Bayesian analysis of normalized VAR models

Uses Software

• tsbridge

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