Deviance Information Criterion for Comparing VAR Models
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- Tao Zeng & Yong Li & Jun Yu, 2014. "Deviance Information Criterion for Comparing VAR Models," Advances in Econometrics, in: Yoosoon Chang & Thomas B. Fomby & Joon Y. Park (ed.),Essays in Honor of Peter C. B. Phillips, volume 33, pages 615-637, Emerald Publishing Ltd.
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More about this item
KeywordsBayes factor; DIC; VAR models; Markov Chain Monte Carlo.;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2014-08-02 (Econometrics)
- NEP-ETS-2014-08-02 (Econometric Time Series)
- NEP-SEA-2014-08-02 (South East Asia)
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