VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
نویسندگان
چکیده
منابع مشابه
2011 / 22 VAR forecasting using Bayesian variable selection
This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large dimensions. The performance of the proposed variable selection method is assessed in forecasting three...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2011
ISSN: 0883-7252
DOI: 10.1002/jae.1271