VAR Forecasting Using Bayesian Variable Selection

This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large dimen...

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Bibliographic details
Main Author: Korobilis, Dimitris
Format: Paper
Language: English
Place of publication: 01.04.2011
Related: The Rimini Centre for Economic Analysis
Data of publication: 2011/04
Series: Working Paper Series
Subjects:
Online Access: available in Bonn?
Database: RePEc IDEAS
RePEc
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