Large Bayesian VARMAs

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 concerns, difficulties in ensuring identification and computational challenges....

Ausführliche Beschreibung

Bibliographische Detailangaben

Veröffentlicht in:	Journal of econometrics 2016-06, Vol.192 (2), p.374-390
Hauptverfasser:	Chan, Joshua C.C., Eisenstat, Eric, Koop, Gary
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian Bayesian analysis Econometrics Macroeconomics Markov chain Monte Carlo Multivariate analysis Stochastic search variable selection Studies Time series VARMA identification
Online-Zugang:	Volltext
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