Bayesian testing of restrictions on vector autoregressive models

Author:

Sun Dongchu,Ni Shawn

Publisher

Elsevier BV

Subject

Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability

Reference38 articles.

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4. Berger, J.O., Bernardo, J.M., 1992. On the development of reference priors (Disc: p.49-60). In: Bayesian Statistics 4. Proceedings of the Fourth Valencia International Meeting, pp. 35–49.

5. Bayesian model choice via Markov chain Monte Carlo methods;Carlin;Journal of the Royal Statistical Society, Series B,1995

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1. A Bayesian analysis of normalized VAR models;Journal of Multivariate Analysis;2014-02

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