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: Journal Article
Language: English
Place of publication: JohnWiley & Sons Ltd 2013
published in: Journal of Applied Econometrics
Data of publication: 2013
ISSN: 0883-7252
1099-1255
EISSN: 1099-1255
Discipline: Economics
Bibliography: Accès restreint
Online Access: Fulltext
Database: Université Catholique de Louvain Institutional Repository DIAL
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