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

Journal of Econometrics

Volumn 115, Issue 1, 2003, Pages 159-197

  Ni, Shawn ^a   Sun, Dongchu ^a  

^a UNIVERSITY OF MISSOURI   (United States)

Author keywords

Constant prior; Jeffreys prior; Minnesota prior; Noninformative priors; Reference prior; Shrinkage prior; VAR

Indexed keywords

ASYMPTOTIC STABILITY; MATHEMATICAL MODELS; MATRIX ALGEBRA; MAXIMUM LIKELIHOOD ESTIMATION; NONLINEAR SYSTEMS; RISKS; VECTORS;

BAYESIAN ESTIMATORS; VECTOR-AUTOREGRESSIVE (VA) MODELS;

REGRESSION ANALYSIS;

EID: 0347604061     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(03)00099-X     Document Type: Article

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