Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks
International Journal of ForecastingPublished 5 February 2010
Markus Jochmann, Gary Koop, Rodney W. Strachan
Citations49
SJR quartileQ1
SJR score2.43
SNIP3.36
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Abstract
This paper builds a model which has two extensions over a standard VAR. The first of these is stochastic search variable selection, which is an automatic model selection device that allows coefficients in a possibly over-parameterized VAR to be set to ze
Keywords
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