VAR forecasting using Bayesian variable selection

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic (linear and nonlinear) VARs. The performance of t...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Paper
Language: English
Place of publication: 01.12.2009
Related: University Library of Munich, Germany
Data of publication: 2009/12
Series: MPRA Paper
Subjects:
Online Access: available in Bonn?
Database: RePEc IDEAS
RePEc
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