Nonparametric Vector Autoregressions: Specification, Estimation, and Inference

DOI10.1108/S0731-9053(2013)0000031009zbMath1443.62076MaRDI QIDQ3295731

Ivan Jeliazkov

Publication date: 10 July 2020

Published in: VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims (Search for Journal in Brave)

zbMATH Keywords

Markov chain Monte Carloadditive modelBayesian model comparisonVAR model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric estimation (62G05)

Related Items (1)

Bayesian nonparametric vector autoregressive models

This page was built for publication: Nonparametric Vector Autoregressions: Specification, Estimation, and Inference