Forecast accuracy, coefficient bias and Bayesian vector autoregressions

DOI10.1016/S0378-4754(01)00404-9zbMath1032.91697MaRDI QIDQ1614012

Ronald Bewley

Publication date: 3 September 2002

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Mathematics Subject Classification ID

Economic time series analysis (91B84)

Related Items (1)

Controlling spurious drift

Cites Work

• Model selection in partially nonstationary vector autoregressive processes with reduced rank structure
• The Influence of VAR Dimensions on Estimator Biases
• Tests for Cointegration Based on Canonical Correlation Analysis

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