Shared more. Cited more. Safe forever.
    • advanced search
    • submit works
    • about
    • help
    • contact us
    • login
    View Item 
    •   MOspace Home
    • University of Missouri-Columbia
    • College of Arts and Sciences (MU)
    • Department of Economics (MU)
    • Economics publications (MU)
    • View Item
    •   MOspace Home
    • University of Missouri-Columbia
    • College of Arts and Sciences (MU)
    • Department of Economics (MU)
    • Economics publications (MU)
    • View Item
    JavaScript is disabled for your browser. Some features of this site may not work without it.
    advanced searchsubmit worksabouthelpcontact us

    Browse

    All of MOspaceCommunities & CollectionsDate IssuedAuthor/ContributorTitleIdentifierThesis DepartmentThesis AdvisorThesis SemesterThis CollectionDate IssuedAuthor/ContributorTitleIdentifierThesis DepartmentThesis AdvisorThesis Semester

    Statistics

    Most Popular ItemsStatistics by CountryMost Popular AuthorsStatistics by Referrer

    Alternative Bayesian Estimators for Vector-Autoregressive Models

    Ni, Shawn, 1962-
    Dongchu, Sun
    View/Open
    [PDF] AlternativeBayesianEstimators.pdf (184.2Kb)
    Date
    2002
    Format
    Working Paper
    Metadata
    [+] Show full item record
    Abstract
    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 for the lag parameters does better overall than the posterior mean. The posterior mean of covariance matrix performs well in most cases. The choice of prior has more significant effects on the estimates than the form of estimators. The shrinkage prior on the VAR lag parameters dominates the constant prior, while Yang and Berger's reference prior on the covariance matrix dominates the Jeffreys prior. Estimation of a VAR using the U.S. macroeconomic data reveals significant differences between estimates under the shrinkage and constant priors.
    URI
    http://hdl.handle.net/10355/2728
    Part of
    Working papers (Department of Economics);WP 02-11
    Part of
    Economics publications
    Citation
    Department of Economics, 2002
    Rights
    OpenAccess.
    This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 3.0 License.
    Collections
    • Economics publications (MU)

    Send Feedback
    hosted by University of Missouri Library Systems
     

     


    Send Feedback
    hosted by University of Missouri Library Systems