Deviance Information Criterion for Comparing VAR Models
DOI10.1108/S0731-905320140000033017zbMath1453.62283OpenAlexW282692758MaRDI QIDQ5133521
Publication date: 10 November 2020
Published in: Essays in Honor of Peter C. B. Phillips (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1108/s0731-905320140000033017
Markov chain Monte CarloBayes factordeviance information criterion (DIC)vector autoregression (VAR) models
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Hypothesis testing in multivariate analysis (62H15) Bayesian problems; characterization of Bayes procedures (62C10) Decision theory (91B06) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)