Browsing Economics publications (MU) by Title "Bayesian Estimator of Vector-Autoregressive Model Under the Entropy Loss"
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Bayesian Estimator of Vector-Autoregressive Model Under the Entropy Loss
(Department of Economics, 2002)The present study makes two contributions to the Bayesian Vector-Autoregression (VAR) literature. The first contribution is derivation of the Bayesian VAR estimator under the intrinsic entropy loss. The Bayesian estimator, ...