Prior selection for panel vector autoregressions

Bayesian shrinkage priors have been very popular in estimating vector autoregressions (VARs) of possibly large dimensions. Many of these priors are not appropriate for multi-country settings, as they cannot account for the type of restrictions typically met in panel vector autoregressions (PVARs). W...

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Bibliographic details
Volume: 101
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: AMSTERDAM Elsevier B.V 01.09.2016
ELSEVIER
published in: Computational statistics & data analysis Vol. 101; pp. 110 - 120
ORCID: 0000-0001-9146-3008
Data of publication: September 2016
ISSN: 0167-9473
1872-7352
EISSN: 1872-7352
Discipline: Mathematics
Computer Science
Subjects:
Online Access: Fulltext
Database: Web of Knowledge
Science Citation Index Expanded
Web of Science - Science Citation Index Expanded - 2016
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