Browsing Economics publications (MU) by Title "Noninformative Priors and Frequentist Risks of Bayesian Estimators of Vector-Autoregressive Models"
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Noninformative Priors and Frequentist Risks of Bayesian Estimators of Vector-Autoregressive Models
(Department of Economics, 2002)In this study, we examine posterior properties and frequentist risks of Bayesian estimators based on several non-informative priors in Vector Autoregressive (VAR) models. We prove existence of the posterior distributions ...