Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks
This paper builds a model which has two extensions over a standard VAR. The first of these is stochastic search variable selection, which is an automatic model selection device that allows coefficients in a possibly over-parameterized VAR to be set to ze
|Collections||ANU Research Publications|
|Source:||International Journal of Forecasting|
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