Finding relevant variables in sparse Bayesian factor models: Economic applications and simulation results
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References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Simon Beyeler & Sylvia Kaufmann, 2016. "Factor augmented VAR revisited - A sparse dynamic factor model approach," Working Papers 16.08, Swiss National Bank, Study Center Gerzensee.
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More about this item
Keywordsfactor models; variable selection; sparse priors;
- C38 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Classification Methdos; Cluster Analysis; Principal Components; Factor Analysis
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
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