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dc.contributor.authorMARKUN, Michal
dc.date.accessioned2011-05-17T11:47:29Z
dc.date.available2011-05-17T11:47:29Z
dc.date.issued2011-01-01
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/17214
dc.description.abstractThe 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.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2011/14en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.titleAdapting the Litterman prior for cointegrated VARsen
dc.typeWorking Paperen
dc.neeo.contributorMARKUN|Michal|aut|
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