Prior selection for panel vector autoregressions
There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that many of these priors are not appropriate for multi-country settings, which motivates me to develop priors for panel VARs (PVARs). The paramet...
|Main Author:||Korobilis, Dimitris|
|Place of publication:||
|Data of publication:||2015-04-01|
|Online Access:||available in Bonn?|
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