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...
|Main Author:||Korobilis, Dimitris|
|Place of publication:||
|Data of publication:||2016-09|
|Online Access:||available in Bonn?|
|Database:||University of Glasgow IR Enlighten
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