Bayesian nonparametric sparse seemingly unrelated regression model (SUR)
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Omiros Papaspiliopoulos & Gareth O. Roberts, 2008. "Retrospective Markov chain Monte Carlo methods for Dirichlet process hierarchical models," Biometrika, Biometrika Trust, vol. 95(1), pages 169-186.
- Kaufmann, Sylvia & Schumacher, Christian, 2012. "Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results," Discussion Papers 29/2012, Deutsche Bundesbank.
- Diebold, Francis X. & Yılmaz, Kamil, 2014.
"On the network topology of variance decompositions: Measuring the connectedness of financial firms,"
Journal of Econometrics, Elsevier, vol. 182(1), pages 119-134.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," Koç University-TUSIAD Economic Research Forum Working Papers 1124, Koc University-TUSIAD Economic Research Forum.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the network topology of variance decompositions: Measuring the connectedness of financial firms," Working Papers 11-45, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Kamil Yılmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," PIER Working Paper Archive 11-031, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Francis X. Diebold & Kamil Yilmaz, 2011. "On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms," NBER Working Papers 17490, National Bureau of Economic Research, Inc.
- Dimitris Korobilis, 2013.
"Var Forecasting Using Bayesian Variable Selection,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
- Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
- KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper series 51_10, Rimini Centre for Economic Analysis, revised Apr 2011.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2018.
"Estimating global bank network connectedness,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(1), pages 1-15, January.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," Koç University-TUSIAD Economic Research Forum Working Papers 1512, Koc University-TUSIAD Economic Research Forum.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yılmaz, 2017. "Estimating Global Bank Network Connectedness," NBER Working Papers 23140, National Bureau of Economic Research, Inc.
- Mert Demirer & Francis X. Diebold & Laura Liu & Kamil Yilmaz, 2015. "Estimating Global Bank Network Connectedness," PIER Working Paper Archive 15-025, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 25 Jul 2015.
- Francis X. Diebold & Kamil Yilmaz, 2013. "Measuring the Dynamics of Global Business Cycle Connectedness," PIER Working Paper Archive 13-070, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Jensen, Mark J. & Maheu, John M., 2010.
"Bayesian semiparametric stochastic volatility modeling,"
Journal of Econometrics, Elsevier, vol. 157(2), pages 306-316, August.
- Mark J Jensen & John M Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," Working Papers tecipa-314, University of Toronto, Department of Economics.
- Mark J. Jensen & John M. Maheu, 2009. "Bayesian Semiparametric Stochastic Volatility Modeling," Working Paper series 23_09, Rimini Centre for Economic Analysis.
- Mark J. Jensen & John M. Maheu, 2008. "Bayesian semiparametric stochastic volatility modeling," FRB Atlanta Working Paper 2008-15, Federal Reserve Bank of Atlanta.
- Billio, Monica & Getmansky, Mila & Lo, Andrew W. & Pelizzon, Loriana, 2012.
"Econometric measures of connectedness and systemic risk in the finance and insurance sectors,"
Journal of Financial Economics, Elsevier, vol. 104(3), pages 535-559.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2010. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," NBER Chapters, in: Market Institutions and Financial Market Risk, National Bureau of Economic Research, Inc.
- Monica Billio & Mila Getmansky & Andrew W. Lo & Loriana Pelizzon, 2011. "Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors," Working Papers 2011_21, Department of Economics, University of Venice "Ca' Foscari".
- Koop, Gary & Korobilis, Dimitris, 2010.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper series 47_09, Rimini Centre for Economic Analysis.
- Keisuke Hirano, 2002. "Semiparametric Bayesian Inference in Autoregressive Panel Data Models," Econometrica, Econometric Society, vol. 70(2), pages 781-799, March.
- Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014.
"Beta-product dependent Pitman–Yor processes for Bayesian inference,"
Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
- Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
- Gary M. Koop, 2013.
"Forecasting with Medium and Large Bayesian VARS,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 177-203, March.
- Gary Koop, 2010. "Forecasting with Medium and Large Bayesian VARs," Working Paper series 43_10, Rimini Centre for Economic Analysis.
- Gary Koop, 2011. "Forecasting with Medium and Large Bayesian VARs," Working Papers 1117, University of Strathclyde Business School, Department of Economics.
- Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
- Marco Del Negro & Christopher Otrok, 2008. "Dynamic factor models with time-varying parameters: measuring changes in international business cycles," Staff Reports 326, Federal Reserve Bank of New York.
- Taddy, Matthew A., 2010. "Autoregressive Mixture Models for Dynamic Spatial Poisson Processes: Application to Tracking Intensity of Violent Crime," Journal of the American Statistical Association, American Statistical Association, vol. 105(492), pages 1403-1417.
- James H. Stock & Mark W. Watson, 2012. "Generalized Shrinkage Methods for Forecasting Using Many Predictors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 30(4), pages 481-493, June.
- Sims, Christopher A & Zha, Tao, 1998.
"Bayesian Methods for Dynamic Multivariate Models,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-968, November.
- Christopher A. Sims & Tao Zha, 1996. "Bayesian methods for dynamic multivariate models," FRB Atlanta Working Paper 96-13, Federal Reserve Bank of Atlanta.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Reichlin, Lucrezia & Giannone, Domenico & Banbura, Marta, 2007. "Bayesian VARs with Large Panels," CEPR Discussion Papers 6326, C.E.P.R. Discussion Papers.
- Martha Banbura & Domenico Giannone & Lucrezia Reichlin, 2008. "Large Bayesian VARs," Working Papers ECARES 2008_033, ULB -- Universite Libre de Bruxelles.
- Marta Bańbura, 2008. "Large Bayesian VARs," 2008 Meeting Papers 334, Society for Economic Dynamics.
- Park, Trevor & Casella, George, 2008. "The Bayesian Lasso," Journal of the American Statistical Association, American Statistical Association, vol. 103, pages 681-686, June.
- Litterman, Robert B, 1986.
"Forecasting with Bayesian Vector Autoregressions-Five Years of Experience,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
- Robert B. Litterman, 1985. "Forecasting with Bayesian vector autoregressions five years of experience," Working Papers 274, Federal Reserve Bank of Minneapolis.
- Min, Chung-ki & Zellner, Arnold, 1993.
"Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates,"
Journal of Econometrics, Elsevier, vol. 56(1-2), pages 89-118, March.
- Min, C.K. & Zellner, A., 1992. ""Bayesian and Non-Bayesian Methods for Combining Models and Forecasts with Applications to Forecasting International Growth Rates"," Papers 90-92-23, California Irvine - School of Social Sciences.
- Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
- Sims, Christopher A., 1992.
"Interpreting the macroeconomic time series facts : The effects of monetary policy,"
European Economic Review, Elsevier, vol. 36(5), pages 975-1000, June.
- Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
- Wang, Hao, 2010. "Sparse seemingly unrelated regression modelling: Applications in finance and econometrics," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2866-2877, November.
- Chib, Siddhartha & Greenberg, Edward, 1995. "Hierarchical analysis of SUR models with extensions to correlated serial errors and time-varying parameter models," Journal of Econometrics, Elsevier, vol. 68(2), pages 339-360, August.
- Griffin, J.E. & Steel, M.F.J., 2011. "Stick-breaking autoregressive processes," Journal of Econometrics, Elsevier, vol. 162(2), pages 383-396, June.
- Griffin, J.E. & Steel, M.F.J., 2006. "Order-Based Dependent Dirichlet Processes," Journal of the American Statistical Association, American Statistical Association, vol. 101, pages 179-194, March.
- M. Ayhan Kose & Christopher Otrok & Charles H. Whiteman, 2003. "International Business Cycles: World, Region, and Country-Specific Factors," American Economic Review, American Economic Association, vol. 93(4), pages 1216-1239, September.
- Koop, Gary & Korobilis, Dimitris, 2013.
"Large time-varying parameter VARs,"
Journal of Econometrics, Elsevier, vol. 177(2), pages 185-198.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large time-varying parameter VARs," MPRA Paper 38591, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris, 2012. "Large Time-Varying Parameter VARs," SIRE Discussion Papers 2012-14, Scottish Institute for Research in Economics (SIRE).
- Gary Koop & Dimitris Korobilis, 2012. "Large Time-Varying Parameter VARs," Working Paper series 11_12, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis, 2012. "Large time-varying parameter VARs," Working Papers 2012_04, Business School - Economics, University of Glasgow.
- Peter Müller & Fernando Quintana & Gary Rosner, 2004. "A method for combining inference across related nonparametric Bayesian models," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 66(3), pages 735-749, August.
- Canova, Fabio & Ciccarelli, Matteo, 2004.
"Forecasting and turning point predictions in a Bayesian panel VAR model,"
Journal of Econometrics, Elsevier, vol. 120(2), pages 327-359, June.
- Fabio Canova & Matteo Ciccarelli, 1999. "Forecasting and turning point predictions in a Bayesian panel VAR model," Economics Working Papers 443, Department of Economics and Business, Universitat Pompeu Fabra.
- Canova, Fabio & Ciccarelli, Matteo, 2001. "Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model," CEPR Discussion Papers 2961, C.E.P.R. Discussion Papers.
- Fabio Canova & Matteo Ciccarelli, 2000. "Forecasting And Turning Point Predictions In A Bayesian Panel Var Model," Working Papers. Serie AD 2000-05, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
- Richard F. MacLehose & David B. Dunson, 2010. "Bayesian Semiparametric Multiple Shrinkage," Biometrics, The International Biometric Society, vol. 66(2), pages 455-462, June.
- J. E. Griffin, 2011. "Inference in Infinite Superpositions of Non-Gaussian Ornstein--Uhlenbeck Processes Using Bayesian Nonparametic Methods," Journal of Financial Econometrics, Oxford University Press, vol. 9(3), pages 519-549, Summer.
- Francis X. Diebold & Kamil Yilmaz, 2016. "Trans-Atlantic Equity Volatility Connectedness: U.S. and European Financial Institutions, 2004–2014," Journal of Financial Econometrics, Oxford University Press, vol. 14(1), pages 81-127.
- Marta Banbura & Domenico Giannone & Lucrezia Reichlin, 2010.
"Large Bayesian vector auto regressions,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92.
- Marta Bańbura & Domenico Giannone & Lucrezia Reichlin, 2010. "Large Bayesian vector auto regressions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(1), pages 71-92, January.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Chib, Siddhartha & Hamilton, Barton H., 2002. "Semiparametric Bayes analysis of longitudinal data treatment models," Journal of Econometrics, Elsevier, vol. 110(1), pages 67-89, September.
- Viral Acharya & Robert Engle & Matthew Richardson, 2012. "Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks," American Economic Review, American Economic Association, vol. 102(3), pages 59-64, May.
- Sylvia Kaufmann, 2010.
"Dating and forecasting turning points by Bayesian clustering with dynamic structure: a suggestion with an application to Austrian data,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(2), pages 309-344.
- Sylvia Kaufmann, 2008. "Dating and forecasting turning points by Bayesian clustering with dynamic structure: A suggestion with an application to Austrian data," Working Papers 144, Oesterreichische Nationalbank (Austrian Central Bank).
- George, Edward I. & Sun, Dongchu & Ni, Shawn, 2008. "Bayesian stochastic search for VAR model restrictions," Journal of Econometrics, Elsevier, vol. 142(1), pages 553-580, January.
- Hui Zou & Trevor Hastie, 2005. "Addendum: Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(5), pages 768-768, November.
- Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
- Hui Zou & Trevor Hastie, 2005. "Regularization and variable selection via the elastic net," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 67(2), pages 301-320, April.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chamberlain Mbah & Kris Peremans & Stefan Van Aelst & Dries F. Benoit, 2019. "Robust Bayesian seemingly unrelated regression model," Computational Statistics, Springer, vol. 34(3), pages 1135-1157, September.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Billio, Monica & Casarin, Roberto & Rossini, Luca, 2019.
"Bayesian nonparametric sparse VAR models,"
Journal of Econometrics, Elsevier, vol. 212(1), pages 97-115.
- Monica Billio & Roberto Casarin & Luca Rossini, 2016. "Bayesian nonparametric sparse VAR models," Papers 1608.02740, arXiv.org, revised Oct 2018.
- Bassetti, Federico & Casarin, Roberto & Leisen, Fabrizio, 2014.
"Beta-product dependent Pitman–Yor processes for Bayesian inference,"
Journal of Econometrics, Elsevier, vol. 180(1), pages 49-72.
- Federico Bassetti & Roberto Casarin & Fabrizio Leisen, 2013. "Beta-Product Dependent Pitman-Yor Processes for Bayesian Inference," Working Papers 2013:13, Department of Economics, University of Venice "Ca' Foscari".
- Daniel Felix Ahelegbey & Monica Billio & Roberto Casarin, 2016.
"Sparse Graphical Vector Autoregression: A Bayesian Approach,"
Annals of Economics and Statistics, GENES, issue 123-124, pages 333-361.
- Roberto Casarin & Daniel Felix Ahelegbey & Monica Billio, 2014. "Sparse Graphical Vector Autoregression: A Bayesian Approach," Working Papers 2014:29, Department of Economics, University of Venice "Ca' Foscari".
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020.
"A Scoring Rule for Factor and Autoregressive Models Under Misspecification,"
Advances in Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Nguyen Domenico Sartore & Wing-Keung Wong, 2020. "A Scoring Rule for Factor and Autoregressive Models Under Misspecification," International Association of Decision Sciences, Asia University, Taiwan, vol. 24(2), pages 66-103, June.
- Roberto Casarin & Fausto Corradin & Francesco Ravazzolo & Domenico Sartore, 2018. "A scoring rule for factor and autoregressive models under misspecification," Working Papers 2018:18, Department of Economics, University of Venice "Ca' Foscari".
- Koop, Gary & Korobilis, Dimitris, 2010.
"Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,"
Foundations and Trends(R) in Econometrics, now publishers, vol. 3(4), pages 267-358, July.
- Gary Koop & Dimitris Korobilis, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," Working Paper series 47_09, Rimini Centre for Economic Analysis.
- Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
- Karlsson, Sune, 2013.
"Forecasting with Bayesian Vector Autoregression,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 791-897,
Elsevier.
- Karlsson, Sune, 2012. "Forecasting with Bayesian Vector Autoregressions," Working Papers 2012:12, Örebro University, School of Business.
- Korobilis, Dimitris, 2016.
"Prior selection for panel vector autoregressions,"
Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 110-120.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," SIRE Discussion Papers 2015-73, Scottish Institute for Research in Economics (SIRE).
- Dimitris Korobilis., 2015. "Prior selection for panel vector autoregressions," Working Papers 2015_10, Business School - Economics, University of Glasgow.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," MPRA Paper 64143, University Library of Munich, Germany.
- Koop, Gary & Korobilis, Dimitris & Pettenuzzo, Davide, 2019.
"Bayesian compressed vector autoregressions,"
Journal of Econometrics, Elsevier, vol. 210(1), pages 135-154.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 2016_09, Business School - Economics, University of Glasgow.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103, Brandeis University, Department of Economics and International Business School.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2017. "Bayesian Compressed Vector Autoregressions," Working Paper series 17-32, Rimini Centre for Economic Analysis.
- Gary Koop & Dimitris Korobilis & Davide Pettenuzzo, 2016. "Bayesian Compressed Vector Autoregressions," Working Papers 103R, Brandeis University, Department of Economics and International Business School, revised Apr 2016.
- Gary Koop, 2012.
"Using VARs and TVP-VARs with Many Macroeconomic Variables,"
Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 4(3), pages 143-167, September.
- Gary, Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," SIRE Discussion Papers 2013-35, Scottish Institute for Research in Economics (SIRE).
- Gary Koop, 2013. "Using VARs and TVP-VARs with Many Macroeconomic Variables," Working Papers 1303, University of Strathclyde Business School, Department of Economics.
- Korobilis, Dimitris, 2015. "Prior selection for panel vector autoregressions," 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN 2015-73, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Nalan Basturk & Cem Cakmakli & S. Pinar Ceyhan & Herman K. van Dijk, 2014. "On the Rise of Bayesian Econometrics after Cowles Foundation Monographs 10, 14," Tinbergen Institute Discussion Papers 14-085/III, Tinbergen Institute, revised 04 Sep 2014.
- Gary Koop & Stuart McIntyre & James Mitchell & Aubrey Poon, 2020. "Regional output growth in the United Kingdom: More timely and higher frequency estimates from 1970," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(2), pages 176-197, March.
- Gefang, Deborah, 2014. "Bayesian doubly adaptive elastic-net Lasso for VAR shrinkage," International Journal of Forecasting, Elsevier, vol. 30(1), pages 1-11.
- Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2018.
"Bayesian Nonparametric Calibration and Combination of Predictive Distributions,"
Journal of the American Statistical Association, Taylor & Francis Journals, vol. 113(522), pages 675-685, April.
- Federico Bassetti & Roberto Casarin & Francesco Ravazzolo, 2015. "Bayesian nonparametric calibration and combination of predictive distributions," Working Paper 2015/03, Norges Bank.
- Roberto Casarin & Federico Bassetti & Francesco Ravazzolo, 2015. "Bayesian Nonparametric Calibration and Combination of Predictive Distributions," Working Papers 2015:04, Department of Economics, University of Venice "Ca' Foscari".
- Dimitris Korobilis, 2013.
"Var Forecasting Using Bayesian Variable Selection,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, March.
- Korobilis, Dimitris, 2009. "VAR forecasting using Bayesian variable selection," MPRA Paper 21124, University Library of Munich, Germany.
- KOROBILIS, Dimitris, 2011. "VAR forecasting using Bayesian variable selection," LIDAM Discussion Papers CORE 2011022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Dimitris Korobilis, 2010. "VAR Forecasting Using Bayesian Variable Selection," Working Paper series 51_10, Rimini Centre for Economic Analysis, revised Apr 2011.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2016.
"Large Bayesian VARMAs,"
Journal of Econometrics, Elsevier, vol. 192(2), pages 374-390.
- Joshua C C Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Papers 1409, University of Strathclyde Business School, Department of Economics.
- Joshua Chan & Eric Eisenstat & Gary Koop, 2015. "Large Bayesian VARMAs," Working Paper series 15-36, Rimini Centre for Economic Analysis.
- Joshua C.C. Chan & Eric Eisenstat & Gary Koop, 2014. "Large Bayesian VARMAs," Working Paper series 40_14, Rimini Centre for Economic Analysis.
- Chan, Joshua C.C. & Eisenstat, Eric & Koop, Gary, 2014. "Large Bayesian VARMAs," SIRE Discussion Papers 2015-06, Scottish Institute for Research in Economics (SIRE).
- Kascha, Christian & Trenkler, Carsten, 2015. "Forecasting VARs, model selection, and shrinkage," Working Papers 15-07, University of Mannheim, Department of Economics.
- Gregor Kastner & Florian Huber, 2020.
"Sparse Bayesian vector autoregressions in huge dimensions,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(7), pages 1142-1165, November.
- Gregor Kastner & Florian Huber, 2017. "Sparse Bayesian vector autoregressions in huge dimensions," Papers 1704.03239, arXiv.org, revised Dec 2019.
- Louzis Dimitrios P., 2016.
"Steady-state priors and Bayesian variable selection in VAR forecasting,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(5), pages 495-527, December.
- Dimitrios P. Louzis, 2015. "Steady-state priors and Bayesian variable selection in VAR forecasting," Working Papers 195, Bank of Greece.
- Tomasz Wozniak, 2016. "Rare Events and Risk Perception: Evidence from Fukushima Accident," Department of Economics - Working Papers Series 2021, The University of Melbourne.
More about this item
Keywords
Bayesian nonparametrics; Large VAR; MCMC; Mixture model; Dirichlet Process; Graphical Representation;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
- E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications
NEP fields
This paper has been announced in the following NEP Reports:- NEP-MAC-2016-09-04 (Macroeconomics)
- NEP-ORE-2016-09-04 (Operations Research)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ven:wpaper:2016:20. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sassano Sonia (email available below). General contact details of provider: https://edirc.repec.org/data/dsvenit.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.