VAR FORECASTING USING BAYESIAN VARIABLE SELECTION
Published in Journal of Applied Econometrics • Oct 26, 2011
NobleIDNI9P73W78R63S93
Authors:
Dimitris Korobilis
Abstract
SUMMARY 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 lar...
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