Forecasting with High-Dimensional Panel VARs
This paper develops methods for estimating and forecasting in Bayesian panel vector autoregressions of large dimensions with time-varying parameters and stochastic volatility. We exploit a hierarchical prior that takes into account possible pooling restrictions involving both VAR coefficients and th...
|Place of publication:||
|Data of publication:||2015-12-01|
|Online Access:||available in Bonn?|
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