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Louzis, 2016 - Google Patents

Steady-state priors and Bayesian variable selection in VAR forecasting

Louzis, 2016

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Document ID
1601040881307316728
Author
Louzis D
Publication year
Publication venue
Studies in Nonlinear Dynamics & Econometrics

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This study proposes methods for estimating Bayesian vector autoregressions (VARs) with a (semi-) automatic variable selection and an informative prior on the unconditional mean or steady-state of the system. We show that extant Gibbs sampling methods for Bayesian …
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