Bayesian nonparametric sparse VAR models

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 that can improve estimation efficiency and prediction...

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Veröffentlicht in:	Journal of econometrics 2019-09, Vol.212 (1), p.97-115
Hauptverfasser:	Billio, Monica, Casarin, Roberto, Rossini, Luca
Format:	Artikel
Sprache:	eng
Schlagworte:	Bayesian analysis Bayesian model selection Bayesian nonparametrics Clustering Connectedness Estimating techniques Extraction Large vector autoregression Multilayer networks Network communities Nonparametric statistics Regression analysis Shrinkage Time series
Online-Zugang:	Volltext
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