Bayesian nonparametric sparse VAR models
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DOI: 10.1016/j.jeconom.2019.04.022
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- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
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Keywords
Bayesian nonparametrics; Bayesian model selection; Connectedness; Large vector autoregression; Multilayer networks; Network communities; Shrinkage;All these keywords.
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