Adaptive hierarchical priors for high-dimensional vector autoregressions
This paper proposes a simulation-free estimation algorithm for vector autoregressions (VARs) that allows fast approximate calculation of marginal parameter posterior distributions. We apply the algorithm to derive analytical expressions for independent VAR priors that admit a hierarchical representa...
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Volume: | 212 |
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Main Author: |
Korobilis, Dimitris
Pettenuzzo, Davide |
Format: | Journal Article |
Language: | English |
Zielgruppe: |
Academic |
Place of publication: |
LAUSANNE Elsevier B.V 01.09.2019 ELSEVIER SCIENCE SA Elsevier Science Publishers |
published in: | Journal of econometrics Vol. 212; no. 1; pp. 241 - 271 |
ORCID: |
0000-0001-9146-3008 |
Data of publication: | September 2019 |
ISSN: |
0304-4076 1872-6895 |
EISSN: |
1872-6895 |
Discipline: | Economics Statistics Mathematics |
Subjects: | |
Online Access: | available in Bonn? |
Database: | Social Sciences Citation Index Web of Science - Science Citation Index Expanded - 2019 Web of Knowledge Science Citation Index Expanded Web of Science - Social Sciences Citation Index – 2019 Web of Science CrossRef Gale General OneFile (A&I only) Academic OneFile (A&I only) Database information Databases - DBIS |