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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| Main Authors: | , , |
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| 格式: | text |
| 語言: | English |
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Institutional Knowledge at Singapore Management University
2014
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| 在線閱讀: | 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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| 機構: | Singapore Management University |
| 語言: | English |