VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large dimen...
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Volume: | 28 |
---|---|
Main Author: | DIMITRIS KOROBILIS |
Format: | Journal Article |
Language: | English |
Zielgruppe: |
Academic |
Place of publication: |
Chichester, UK John Wiley & Sons 01.03.2013 John Wiley & Sons, Ltd WILEY Wiley Subscription Services, Inc |
published in: | Journal of applied econometrics (Chichester, England) Vol. 28; no. 2; pp. 204 - 230 |
ORCID: |
0000-0001-9146-3008 |
Data of publication: | 20130301 |
ISSN: |
0883-7252 1099-1255 |
EISSN: |
1099-1255 |
Discipline: | Economics |
Subjects: | |
Online Access: |
Fulltext |
Database: | Social Sciences Citation Index Web of Knowledge Web of Science - Social Sciences Citation Index - 2013 Web of Science Academic OneFile (A&I only) Database information Databases - DBIS |