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Combining shrinkage and sparsity in conjugate vector autoregressive models
Conjugate priors allow for fast inference in large dimensional vector autoregressive (VAR) models. But at the same time, they introduce the restriction that each equation features the same set of explanatory variables. This paper proposes a straightforward means of postprocessing posterior estimates...
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| I publikationen: | J Appl Econ (Chichester Engl) |
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| Huvudupphovsmän: | , , |
| Materialtyp: | Artigo |
| Språk: | Inglês |
| Publicerad: |
John Wiley and Sons Inc.
2021
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| Ämnen: | |
| Länkar: | https://ncbi.nlm.nih.gov/pmc/articles/PMC8048898/ https://ncbi.nlm.nih.gov/pubmed/33888936 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1002/jae.2807 |
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