Prior selection for panel vector autoregressions
type: Item
instance of: scholarly article
title: Prior selection for panel vector autoregressions
zbMATH Open document ID: 1466.62117
author: Dimitris Korobilis
published in: Computational Statistics and Data Analysis
publication date: 2018-08-15T00:00:00Z
full work available at URL: MIXLASSO PVAR.pdf
Mathematics Subject Classification ID: 62-08
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F15
zbMATH DE Number: 6918276
zbMATH Keywords: Bayesian model selection
zbMATH Keywords: shrinkage
zbMATH Keywords: spike and slab priors
zbMATH Keywords: forecasting
zbMATH Keywords: large vector autoregression
MaRDI profile type: Publication
OpenAlex ID: W1869633147
cites work: Bayesian Selection and Clustering of Polymorphisms in Functionally Related Genes
cites work: Bayesian stochastic search for VAR model restrictions
cites work: Bayesian Multivariate Time Series Methods for Empirical Macroeconomics
cites work: Forecasting in vector autoregressions with many predictors
DOI: 10.1016/J.CSDA.2016.02.011
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description: scientific article; zbMATH DE number 6918276