How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis-Reference-Cited by-同舟云学术

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How Sensitive Are VAR Forecasts to Prior Hyperparameters? An Automated Sensitivity Analysis

Published:2019-08-30 Issue: Volume: Page:229-248
ISSN:0731-9053
Container-title:Advances in Econometrics
language:
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Author:

Chan Joshua C. C.,Jacobi Liana,Zhu Dan

Publisher

Emerald Publishing Limited

Reference29 articles.

1. Large Bayesian vector auto regressions;Journal of Applied Econometrics,2010

2. Large Bayesian VARs: A flexible Kronecker error covariance structure;Journal of Business and Economic Statistics,2018

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1. Posterior Manifolds over Prior Parameter Regions: Beyond Pointwise Sensitivity Assessments for Posterior Statistics from MCMC Inference;Studies in Nonlinear Dynamics & Econometrics;2023-12-22

2. Target benefit versus defined contribution scheme: a multi-period framework;ASTIN Bulletin;2023-09

3. An automated prior robustness analysis in Bayesian model comparison;Journal of Applied Econometrics;2022-01-08

4. Efficient selection of hyperparameters in large Bayesian VARs using automatic differentiation;Journal of Forecasting;2020-03-02

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