Adaptive Shrinkage in Bayesian Vector Autoregressive Models

Bayesian Estimates for Vector - Autoregressive Models

This paper examines frequentist risks of Bayesian estimates of VAR regression coefficient and error covariance matrices under competing loss functions, under a variety of non-informative priors, and in the normal and Student-t models. Simulation results show that for the regression coefficient matrix an asymmetric LINEX estimator does better overall than the posterior mean. For the error covari...

Bayesian averaging of classical estimates in asymmetric vector autoregressive models

Comparison of Neural Network Models, Vector Auto Regression (VAR), Bayesian Vector-Autoregressive (BVAR), Generalized Auto Regressive Conditional Heteroskedasticity (GARCH) Process and Time Series in Forecasting Inflation in ‎Iran‎

‎This paper has two aims. The first is forecasting inflation in Iran using Macroeconomic variables data in Iran (Inflation rate, liquidity, GDP, prices of imported goods and exchange rates) , and the second is comparing the performance of forecasting vector auto regression (VAR), Bayesian Vector-Autoregressive (BVAR), GARCH, time series and neural network models by which Iran's inflation is for...

Vector Autoregressive Models

The Doubly Adaptive LASSO for Vector Autoregressive Models

The LASSO (Tibshirani, J R Stat Soc Ser B 58(1):267–288, 1996, [30]) and the adaptive LASSO (Zou, J Am Stat Assoc 101:1418–1429, 2006, [37]) are popular in regression analysis for their advantage of simultaneous variable selection and parameter estimation, and also have been applied to autoregressive time series models. We propose the doubly adaptive LASSO (daLASSO), or PLAC-weighted adaptive L...