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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Bibliographic details
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:	Vector autoregression Statistical models Economic forecasting models Time series forecasting Macroeconomic modeling Statistical forecasts Macroeconomics Coefficients Analytical forecasting Forecasting models Economics Business & Economics Social Sciences Mathematical Methods In Social Sciences Social Sciences, Mathematical Methods Value-added resellers Analysis Algorithms PRIORS UNCERTAINTY MONETARY-POLICY MODELS LASSO VECTOR AUTOREGRESSIONS
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