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Flexible Fat-tailed BVARs
Örebro University, Örebro University School of Business.ORCID iD: 0000-0003-0203-4688
Örebro University, Örebro University School of Business.ORCID iD: 0000-0002-1395-9427
2019 (English)Conference paper, Oral presentation only (Refereed)
Abstract [en]

We propose a general class of fat-tailed distributions which includes the t,Cauchy, Laplace and slash distributions as well as the normal distribution as spe-cial cases. Full conditional posterior distributions for the Bayesian VAR-model arederived and used to construct a MCMC-sampler for the joint posterior distribution.The framework allows for selection of a specic special case as the distribution forthe error terms in the VAR if the evidence in the data is strong while at the sametime allowing for considerable exibility and more general distributions than oeredby any of the special cases.

Place, publisher, year, edition, pages
2019.
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-76718OAI: oai:DiVA.org:oru-76718DiVA, id: diva2:1354173
Conference
10th European Seminar on Bayesian Econometrics, St Andrews, Scotland, September 2-3, 2019
Funder
The Jan Wallander and Tom Hedelius Foundation, P18-0201Available from: 2019-09-24 Created: 2019-09-24 Last updated: 2022-10-27Bibliographically approved

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Karlsson, SuneMazur, Stepan

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