Forecasting with Specification‐Switching VARs

DOI10.1002/FOR.2455zbMath1397.62546OpenAlexW2559450736MaRDI QIDQ4687623

Youngjin Hwang

Publication date: 12 October 2018

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

Full work available at URL: https://doi.org/10.1002/for.2455

zbMATH Keywords

Bayesian estimationvector autoregressionsdynamic model selectiondynamic model averaging

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15)

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