Loddo, Antonello; Ni, Shawn; Sun, Dongchu - In: Journal of Business & Economic Statistics 29 (2011) 3, pp. 342-355
We propose a Bayesian stochastic search approach to selecting restrictions on multivariate regression models where the errors exhibit deterministic or stochastic conditional volatilities. We develop a Markov chain Monte Carlo (MCMC) algorithm that generates posterior restrictions on the...