Estimating the ordering of variables in a VAR using a Plackett-Luce prior

DOI10.1016/J.ECONLET.2023.111247OpenAlexW4383312053MaRDI QIDQ6093786FDOQ6093786

Authors: Ping Wu, Gary Koop 

Publication date: 12 September 2023

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2023.111247

zbMATH Keywords

Plackett-Luce modelvariables ordering

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• Inference from iterative simulation using multiple sequences
• Title not available (Why is that?)
• A comparison of truncated and time-weighted Plackett-Luce models for probabilistic forecasting of Formula One results
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Macroeconomic forecasting and variable ordering in multivariate stochastic volatility models
• Uncertain identification

Cited In (2)

• Regression models for multivariate ordered responses via the Plackett distribution
• Will the PLS criterion for order estimation work with AML and a posteriori prediction error?

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