Alternative Bayesian compression in Vector Autoregressions and related models
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More about this item
Keywords
Bayesian Vector Autoregressions; Bayesian Compressed Re-gression; Error-in-Variables; Forecasting; Multivariate Autoregressive Index model.;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-01-08 (Econometrics)
- NEP-ETS-2017-01-08 (Econometric Time Series)
- NEP-FOR-2017-01-08 (Forecasting)
- NEP-ORE-2017-01-08 (Operations Research)
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