Bayesian nonparametric vector autoregressive models
Sign Up to like & getrecommendations! Published in 2018 at "Journal of Econometrics"
DOI: 10.1016/j.jeconom.2017.11.009
Abstract: Vector autoregressive (VAR) models are the main work-horse models for macroeconomic forecasting, and provide a framework for the analysis of complex dynamics that are present between macroeconomic variables. Whether a classical or a Bayesian approach… read more here.
Keywords: bayesian nonparametric; model; var models; vector autoregressive ... See more keywords
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
Forecasting crude oil real prices with averaging time-varying VAR models
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DOI: 10.1016/j.resourpol.2021.102244
Abstract: Abstract The aim of this research is to discuss the ability to forecast real crude oil price by the use of Time-Varying Vector Autoregression (TVP-VAR) models. In particular, model averaging and model selection schemes over… read more here.
Keywords: time; var models; time varying; model ... See more keywords