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Intrinsic Bayesian estimation of vector autoregression impulse responses

Ni, Shawn X.; Sun, Dongchu; Sun, Xiaoqian - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 163-176

Persistent link: https://www.econbiz.de/10003463620

Bayesian stochastic search for VAR model restrictions

George, Edward I.; Sun, Dongchu; Ni, Shawn X. - In: Journal of econometrics 142 (2008) 1, pp. 553-580

Persistent link: https://www.econbiz.de/10003608215

Selection of multivariate stochastic volatility models via Bayesian stochastic search

Loddo, Antonello; Ni, Shawn X.; Sun, Dongchu - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 3, pp. 342-355

Persistent link: https://www.econbiz.de/10009232550

Bayesian estimates for Vector autoregressive models

Ni, Shawn X.; Sun, Dongchu - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 105-117

Persistent link: https://www.econbiz.de/10002584020

Noninformative priors and frequentist risks of bayesian estimators of vector-autoregressive models

Ni, Shawn X.; Sun, Dongchu - In: Journal of econometrics 115 (2003) 1, pp. 159-197

Persistent link: https://www.econbiz.de/10001758140

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

Ni, Shawn; Loddo, Antonello; Sun, Dongchu - Economics Department, University of Missouri - 2009

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...

Persistent link: https://www.econbiz.de/10010933593

Selection of Multivariate Stochastic Volatility Models via Bayesian Stochastic Search

Loddo, Antonello; Ni, Shawn; Sun, Dongchu - In: Journal of Business & Economic Statistics 29 (2011) 3, pp. 342-355

Persistent link: https://www.econbiz.de/10009358098

Intrinsic Bayesian Estimation of Vector Autoregression Impulse Responses

Ni, Shawn; Sun, Dongchu; Sun, Xiaoqian - In: Journal of business & economic statistics : JBES ; a … 25 (2007) 2, pp. 163-176

Persistent link: https://www.econbiz.de/10008221861

Bayesian Estimates for Vector Autoregressive Models

Ni, Shawn; Sun, Dongchu - In: Journal of business & economic statistics : JBES ; a … 23 (2005) 1, pp. 105-117

Persistent link: https://www.econbiz.de/10008222915

Bayesian stochastic search for VAR model restrictions

George, Edward I.; Sun, Dongchu; Ni, Shawn - In: Journal of econometrics 142 (2008) 1, pp. 553-580

Persistent link: https://www.econbiz.de/10007894497