Model uncertainty in Panel Vector Autoregressive models

We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where the restrictions involve interdependencies between and heterogeneities across...

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Bibliographic details
Volume: 81
Main Author: Koop, Gary
Korobilis, Dimitris
Format: Journal Article
Language: English
Zielgruppe: Trade
Academic
Place of publication: AMSTERDAM Elsevier B.V 01.01.2016
ELSEVIER SCIENCE BV
Elsevier Science Publishers
published in: European economic review Vol. 81; pp. 115 - 131
ORCID: 0000-0002-6091-378X
0000-0001-9146-3008
Data of publication: January 2016
ISSN: 0014-2921
1873-572X
EISSN: 1873-572X
Discipline: Economics
Subjects:
C52
C11
C33
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2016
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