Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
نویسندگان
چکیده
منابع مشابه
2011 / 22 VAR forecasting using Bayesian variable selection
This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally efficient algorithms for stochastic variable selection in generic linear and nonlinear models, as well as models of large dimensions. The performance of the proposed variable selection method is assessed in forecasting three...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2010
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2009.11.002