Bayesian compressed vector autoregressions

Macroeconomists are increasingly working with large Vector Autoregressions (VARs) where the number of parameters vastly exceeds the number of observations. Existing approaches either involve prior shrinkage or the use of factor methods. In this paper, we develop an alternative based on ideas from th...

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Bibliographic details
Volume: 210
Main Author: Koop, Gary
Korobilis, Dimitris
Pettenuzzo, Davide
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: Elsevier B.V 01.05.2019
Elsevier Science Publishers
published in: Journal of econometrics Vol. 210; no. 1; pp. 135 - 154
Data of publication: May 2019
ISSN: 0304-4076
1872-6895
EISSN: 1872-6895
Discipline: Economics
Statistics
Mathematics
Subjects:
C53
C11
C32
Online Access: available in Bonn?
Database: CrossRef
Gale General OneFile (A&I only)
Academic OneFile (A&I only)
Database information Databases - DBIS