Browsing Department of Economics (MU) by Title "Alternative Bayesian Estimators for Vector-Autoregressive Models"

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  • Alternative Bayesian Estimators for Vector-Autoregressive Models 

    Ni, Shawn, 1962-; Dongchu, Sun (Department of Economics, 2002)
    This paper compares frequentist risks of several Bayesian estimators of the VAR lag parameters and covariance matrix under alternative priors. With the constant prior on the VAR lag parameters, the asymmetric LINEX estimator ...