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:
Online Access: Fulltext
Database: Social Sciences Citation Index
Web of Knowledge
Web of Science - Social Sciences Citation Index - 2013
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