Prior Selection for Vector Autoregressions
Year of publication: |
2015
|
---|---|
Authors: | Giannone, Domenico ; Lenza, Michele ; Primiceri, Giorgio E. |
Published in: |
The Review of Economics and Statistics. - MIT Press. - Vol. 2.2015, 97, p. 436-451
|
Publisher: |
MIT Press |
Subject: | vector autoregressions | VARs | macroeconomic | parameterization | out-of-sample forecasts | unrestricted model | naıve benchmark | hierarchical modeling | impulse response functions |
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