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:	Bayesian model selection Large vector autoregression Shrinkage Forecasting Spike and slab priors Statistics & Probability Physical Sciences Computer Science, Interdisciplinary Applications Technology Computer Science Mathematics Science & Technology Bayesian model selection Large vector autoregression Shrinkage Forecasting Spike and slab priors
Online Access:	Fulltext
Database:	Web of Knowledge Science Citation Index Expanded Web of Science - Science Citation Index Expanded - 2016 Web of Science CrossRef Academic OneFile (A&I only) Database information Databases - DBIS