Adapting the Litterman prior for cointegrated VARs

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dc.contributor.author MARKUN, Michal
dc.date.accessioned 2011-05-17T11:47:29Z
dc.date.available 2011-05-17T11:47:29Z
dc.date.issued 2011-01-01
dc.identifier.issn 1725-6704
dc.identifier.uri http://hdl.handle.net/1814/17214
dc.description.abstract The paper presents a novel prior for Bayesian VAR models, characterized by explicit modelling of cointegration that avoids certain unattractive restrictive properties of the priors used previously. The potential of the prior for easy elicitation from the well-established Litterman beliefs is demonstrated. An efficient procedure for sampling from posterior distribution is provided. The favourable outcome of the forecast comparison exercise gives further support for the use of the methods proposed. en
dc.language.iso en en
dc.relation.ispartofseries EUI ECO en
dc.relation.ispartofseries 2011/14 en
dc.title Adapting the Litterman prior for cointegrated VARs en
dc.type Working Paper en
dc.neeo.contributor MARKUN|Michal|aut|


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