Deviance information criterion for comparing VAR models

Deviance information criterion for comparing VAR models

Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC) recent...

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Bibliographic Details
Main Authors: ZENG, Tao, LI, Yong, YU, Jun
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2014
Subjects:
Bayes factor
DIC
VAR models
Markov Chain Monte Carlo
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1584
https://ink.library.smu.edu.sg/context/soe_research/article/2583/viewcontent/DevianceInfoCriterionVAR.pdf
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Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/1584
https://ink.library.smu.edu.sg/context/soe_research/article/2583/viewcontent/DevianceInfoCriterionVAR.pdf

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