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

Jochmann, MarkusKoop, GaryStrachan, Rodney2015-12-070169-2070http://hdl.handle.net/1885/18728This 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 zeKeywords: Over-parameterization; Predictive density; Shrinkage; Structural break; Vector autoregressive modelBayesian Forecasting using Stochastic Search Variable Selection in a VAR Subject to Breaks201010.1016/j.ijforecast.2009.11.0022016-02-24