Model Uncertainty and Bayesian Model Averaging in Vector Autoregressive Processes
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- Strachan, R.W. & van Dijk, H.K., 2006. "Model uncertainty and Bayesian model averaging in vector autoregressive processes," Econometric Institute Research Papers EI 2006-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
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- Radchenko, Stanislav & Tsurumi, Hiroki, 2006.
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KeywordsPosterior probability; Grassman manifold; Orthogonal group; Cointegration; Model averaging; Stochastic trend; Impulse response; Vector autoregressive model.;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2006-03-05 (All new papers)
- NEP-ECM-2006-03-05 (Econometrics)
- NEP-ETS-2006-03-05 (Econometric Time Series)
- NEP-FOR-2006-03-05 (Forecasting)
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