Korobilis, Dimitris (2014): Databased priors for vector autoregressions with drifting coefficients.

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Abstract
This paper proposes fullBayes priors for timevarying parameter vector autoregressions (TVPVARs) which are more robust and objective than existing choices proposed in the literature. We formulate the priors in a way that they allow for straightforward posterior computation, they require minimal input by the user, and they result in shrinkage posterior representations, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVPVARs of different dimensions establishes the usefulness of the proposed approach.
Item Type:  MPRA Paper 

Original Title:  Databased priors for vector autoregressions with drifting coefficients 
Language:  English 
Keywords:  TVPVAR, shrinkage, databased prior, forecasting 
Subjects:  C  Mathematical and Quantitative Methods > C1  Econometric and Statistical Methods and Methodology: General > C11  Bayesian Analysis: General C  Mathematical and Quantitative Methods > C2  Single Equation Models ; Single Variables > C22  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes C  Mathematical and Quantitative Methods > C3  Multiple or Simultaneous Equation Models ; Multiple Variables > C32  TimeSeries Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C52  Model Evaluation, Validation, and Selection C  Mathematical and Quantitative Methods > C5  Econometric Modeling > C53  Forecasting and Prediction Methods ; Simulation Methods C  Mathematical and Quantitative Methods > C6  Mathematical Methods ; Programming Models ; Mathematical and Simulation Modeling > C63  Computational Techniques ; Simulation Modeling E  Macroeconomics and Monetary Economics > E1  General Aggregative Models > E17  Forecasting and Simulation: Models and Applications E  Macroeconomics and Monetary Economics > E5  Monetary Policy, Central Banking, and the Supply of Money and Credit > E58  Central Banks and Their Policies 
Item ID:  53772 
Depositing User:  Dimitris Korobilis 
Date Deposited:  19 Feb 2014 05:08 
Last Modified:  01 Feb 2017 02:06 
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URI:  https://mpra.ub.unimuenchen.de/id/eprint/53772 