Bayesian compressed vector autoregressions

DOI10.1016/j.jeconom.2018.11.009zbMath1452.62934OpenAlexW3124039655MaRDI QIDQ1740345

Davide Pettenuzzo, Dimitris Korobilis, Gary Koop

Publication date: 30 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://repository.essex.ac.uk/21034/1/SSRN-id2754241.pdf

zbMATH Keywords

forecastingmultivariate time seriesrandom projection

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Economic time series analysis (91B84) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Uses Software

• bvarsv

Cites Work

• Unnamed Item
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• Complete subset regressions
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• Extensions of Lipschitz mappings into a Hilbert space
• The Bayesian Lasso
• Asymptotic Inference about Predictive Ability
• Model Averaging and Dimension Selection for the Singular Value Decomposition
• Bayesian Compressed Regression
• Time Varying Structural Vector Autoregressions and Monetary Policy
• Stochastic Model Specification Search for Time-Varying Parameter VARs
• Compressed sensing

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