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Bayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks

Jochmann, Markus; Koop, Gary; Strachan, Rodney

Description

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

CollectionsANU Research Publications
Date published: 2010
Type: Journal article
URI: http://hdl.handle.net/1885/18728
Source: International Journal of Forecasting
DOI: 10.1016/j.ijforecast.2009.11.002

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