How Sensitive are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis
Year of publication: |
2018
|
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Authors: | Chan, Joshua |
Other Persons: | Jacobi, Liana (contributor) ; Zhu, Dan (contributor) |
Publisher: |
[2018]: [S.l.] : SSRN |
Subject: | VAR-Modell | VAR model | Sensitivitätsanalyse | Sensitivity analysis | Prognoseverfahren | Forecasting model | Bayes-Statistik | Bayesian inference | Zeitreihenanalyse | Time series analysis |
Extent: | 1 Online-Ressource (25 p) |
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Series: | CAMA Working Paper ; No. 25/2018 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 29, 2018 erstellt |
Other identifiers: | 10.2139/ssrn.3187046 [DOI] |
Classification: | C11 - Bayesian Analysis ; C53 - Forecasting and Other Model Applications ; E37 - Forecasting and Simulation |
Source: | ECONIS - Online Catalogue of the ZBW |
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