BGVAR: Bayesian Global Vector Autoregressions with Shrinkage Priors in R
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DOI: 10.24149/gwp395
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Cited by:
- Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2022.
"APPROXIMATE BAYESIAN INFERENCE AND FORECASTING IN HUGE‐DIMENSIONAL MULTICOUNTRY VARs,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 63(4), pages 1625-1658, November.
- Martin Feldkircher & Florian Huber & Gary Koop & Michael Pfarrhofer, 2021. "Approximate Bayesian inference and forecasting in huge-dimensional multi-country VARs," Papers 2103.04944, arXiv.org, revised Feb 2022.
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More about this item
Keywords
Global Vector Autoregressions; Bayesian inference; time series analysis; R;All these keywords.
JEL classification:
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
- C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
- C87 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Econometric Software
- F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ETS-2020-09-14 (Econometric Time Series)
- NEP-FOR-2020-09-14 (Forecasting)
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