Priors for the Long Run

DOI10.1080/01621459.2018.1483826zbMath1420.91526OpenAlexW2373943888MaRDI QIDQ5231487

Domenico Giannone, Giorgio E. Primiceri, Michele Lenza

Publication date: 27 August 2019

Published in: Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/01621459.2018.1483826

zbMATH Keywords

hierarchical modelforecastinginitial conditionsoverfittingBayesian vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical methods; risk measures (91G70)

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Uses Software

• BayesDA

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