Bayesian nonparametric sparse VAR models
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DOI: 10.1016/j.jeconom.2019.04.022
Abstract: High dimensional vector autoregressive (VAR) models require a large number of parameters to be estimated and may suffer of inferential problems. We propose a new Bayesian nonparametric (BNP) Lasso prior (BNP-Lasso) for high-dimensional VAR models… read more here.
Keywords: var models; bayesian nonparametric; var; bnp lasso ... See more keywords