Bayesian forecasting using stochastic search variable selection in a VAR subject to breaks

International Journal of Forecasting

Volumn 26, Issue 2, 2010, Pages 326-347

  Jochmann, Markus ^a   Koop, Gary ^a   Strachan, Rodney W ^b  

^a UNIVERSITY OF STRATHCLYDE   (United Kingdom)

^b UNIVERSITY OF QUEENSLAND   (Australia)

Author keywords

Over parameterization; Predictive density; Shrinkage; Structural break; Vector autoregressive model

Indexed keywords

EID: 77649272473     PISSN: 01692070     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijforecast.2009.11.002     Document Type: Article

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