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
Main Author: Korobilis, Dimitris
Pettenuzzo, Davide
Format: Journal Article
Language: English
Place of publication: Elsevier 01.09.2019
Data of publication: 2019-09
Bibliography: http://eprints.gla.ac.uk/191578/
10.1016/j.jeconom.2019.04.029
Online Access: available in Bonn?
Database: University of Glasgow IR Enlighten
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