How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis
Year of publication: |
2018
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Authors: | Chan, Joshua ; Jacobi, Liana ; Zhu, Dan |
Publisher: |
[Canberra] : Australian National University, Crawford School of Public Policy, Centre for Applied Macroeconomic Analysis |
Subject: | vector autoregression | automatic differentiation | interval forecasts | Innovationsdiffusion | Innovation diffusion | Prognoseverfahren | Forecasting model | VAR-Modell | VAR model | Schätztheorie | Estimation theory | Sensitivitätsanalyse | Sensitivity analysis | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (circa 25 Seiten) Illustrationen |
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Series: | CAMA working paper series. - Canberra : [Verlag nicht ermittelbar], ZDB-ID 2468679-7. - Vol. 2018, 25 (May 2018) |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature |
Language: | English |
Source: | ECONIS - Online Catalogue of the ZBW |
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