Noninformative priors and frequentist risks of Bayesian estimators of vector-autoregressive models

DOI10.1016/S0304-4076(03)00099-XzbMath1013.62023OpenAlexW2015167966MaRDI QIDQ1810683

Dongchu Sun, Shawn Ni

Publication date: 9 June 2003

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(03)00099-x

zbMATH Keywords

VARJeffreys' priornoninformative priorsreference priorsshrinkage priorsconstant priorsMinnesota prior

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Bayesian problems; characterization of Bayes procedures (62C10)

Related Items (14)

Intrinsic Bayesian estimation of linear time series models ⋮ Comment on An and Schorfheide's Bayesian Analysis of DSGE Models ⋮ Bayesian Inference in CointegratedI(2) Systems: A Generalization of the Triangular Model ⋮ A Bayesian analysis of normalized VAR models ⋮ Time-varying vector autoregressive models with stochastic volatility ⋮ Bayesian testing of restrictions on vector autoregressive models ⋮ Dynamic modeling of mean-reverting spreads for statistical arbitrage ⋮ Comparing DSGE-VAR forecasting models: how big are the differences? ⋮ Vector autoregressive models with measurement errors for testing Granger causality ⋮ Critique of p‐Values ⋮ Estimation of a multivariate normal covariance matrix with staircase pattern data ⋮ Inference From Intrinsic Bayes’ Procedures Under Model Selection and Uncertainty ⋮ Periodic autoregressive models with closed skew-normal innovations ⋮ On limiting spectral distribution of large sample covariance matrices by VARMA(p,q)

Uses Software

• RATS

Cites Work

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