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Model Uncertainty in Panel Vector Autoregressive Models.
(University of Glasgow, 2014-08)
We develop methods for Bayesian model averaging (BMA) or selection (BMS) in Panel Vector Autoregressions (PVARs). Our approach allows us to select between or average over all possible combinations of restricted PVARs where ...
Large Bayesian VARMAs
(University of Strathclyde, 2014-09-25)
Vector Autoregressive Moving Average (VARMA) models have many theoretical properties which should make them popular among empirical macroeconomists. However, they are rarely used in practice due to over-parameterization ...