Bayesian testing of restrictions on vector autoregressive models

DOI10.1016/j.jspi.2012.04.019zbMath1335.62147OpenAlexW1997911057MaRDI QIDQ453023

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

zbMATH Keywords

Bayes factorMCMCBayesian VAR

Mathematics Subject Classification ID

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

Related Items (1)

A Bayesian analysis of normalized VAR models

Uses Software

• tsbridge

Cites Work

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