Bayesian analysis of vector-autoregressi
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Dongchu Sun; Shawn Ni
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Article
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2004
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Elsevier Science
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English
β 288 KB
In this paper, we investigate the properties of Bayes estimators of vector autoregression (VAR) coe cients and the covariance matrix under two commonly employed loss functions. We point out that the posterior mean of the variances of the VAR errors under the Je reys prior is likely to have an over-e