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...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Publication
Language: English
Place of publication: 01.04.2015
Data of publication: 2015-04-01
Subjects:
Online Access: available in Bonn?
Database: OpenAIRE
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