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Forecasting with Ge...
Forecasting with Generalized Bayesian Vector Autoregressions
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- Kadiyala, K. Rao (författare)
- Krannert Graduate School of Management, Purdue University, West Lafayette IN, USA
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- Karlsson, Sune, 1960- (författare)
- Department of Economic Statistics, Stockholm School of Economics, Stockholm, Sweden
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(creator_code:org_t)
- John Wiley & Sons, 1993
- 1993
- Engelska.
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Ingår i: Journal of Forecasting. - : John Wiley & Sons. - 0277-6693 .- 1099-131X. ; 12:3-4, s. 365-378
- Relaterad länk:
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https://urn.kb.se/re...
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visa fler...
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https://doi.org/10.1...
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visa färre...
Abstract
Ämnesord
Stäng
- The effects of using different distributions to parameterize the prior beliefs in a Bayesian analysis of vector autoregressions are studied. The well-known Minnesota prior of Litterman as well as four less restrictive distributions are considered. Two of these prior distributions are new to vector autoregressive models. When the forecasting performance of the different parameterizations of the prior beliefs are compared it is found that the prior distributions that allow for dependencies between the equations of the VAR give rise to better forecasts.
Ämnesord
- NATURVETENSKAP -- Matematik -- Sannolikhetsteori och statistik (hsv//swe)
- NATURAL SCIENCES -- Mathematics -- Probability Theory and Statistics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Företagsekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Business Administration (hsv//eng)
Nyckelord
- DIFFUSE PRIOR; ENC PRIOR; NORMAL-DIFFUSE PRIOR; NORMAL-WISHART PRIOR; MINNESOTA PRIOR; MONTE-CARLO INTEGRATION; MULTIVARIATE TIME SERIES
Publikations- och innehållstyp
- ref (ämneskategori)
- art (ämneskategori)
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