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Bayesian testing of restrictions on vector autoregressive models

โœ Scribed by Dongchu Sun; Shawn Ni

Book ID
116700918
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
323 KB
Volume
142
Category
Article
ISSN
0378-3758

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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