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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書目詳細資料
Main Authors:	ZENG, Tao, LI, Yong, YU, Jun
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2014
主題:	Bayes factor DIC VAR models Markov Chain Monte Carlo Econometrics
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

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