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

DOI10.1016/J.ECONLET.2023.111247MaRDI QIDQ6093786OpenAlexFDO

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

• scientific article; zbMATH DE number 3152611 (Why is no real title available?)
• A comparison of truncated and time-weighted Plackett-Luce models for probabilistic forecasting of Formula One results
• Inference from iterative simulation using multiple sequences
• 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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