Data-based priors for vector autoregressions with drifting coefficients

This paper proposes full-Bayes priors for time-varying parameter vector autoregressions (TVP-VARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require minimal in...

Full description

Saved in:
Bibliographic details
Main Author: Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: 01.01.2014
Data of publication: 2014-01-01
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
Database information Databases - DBIS