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...

Full description

Saved in:
Bibliographic details
Main Author: Korobilis, Dimitris
Format: Journal Article
Language: English
Place of publication: Elsevier 01.09.2016
Data of publication: 2016-09
Online Access: available in Bonn?
Database: University of Glasgow IR Enlighten
Database information Databases - DBIS