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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Bibliographic details
Volume: 212
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:
C53
C11
C32
C13
Online Access: available in Bonn?
Database: Web of Knowledge
Web of Science - Social Sciences Citation Index – 2019
Web of Science - Science Citation Index Expanded - 2019
Science Citation Index Expanded
Social Sciences Citation Index
Web of Science
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