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Model averaging and variable selection in VAR models
Örebro University, Örebro University School of Business.
Örebro University, Örebro University School of Business.ORCID iD: 0000-0003-0203-4688
(English)Manuscript (preprint) (Other academic)
Abstract [en]

Bayesian model averaging and model selection is based on the marginal likelihoods of the competing models. This can, however, not be used directly in VAR models when one of the issues is which - and how many - variables to include in the model since the likelihoods will be for different groups of variables and not directly comparable. One possible solution is to consider the marginal likelihood for a core subset of variables that are always included in the model. This is similar in spirit to a recent proposal for forecast combination based on the predictive likelihood. The two approaches are contrasted and their performance is evaluated in a simulation study and a forecasting exercise. 

Keyword [en]
Bayesian model averaging, marginalized likelihood, predictive likelihood
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:oru:diva-35873OAI: oai:DiVA.org:oru-35873DiVA: diva2:736587
Available from: 2014-08-07 Created: 2014-08-07 Last updated: 2017-10-17Bibliographically approved
In thesis
1. Model choice in Bayesian VAR models
Open this publication in new window or tab >>Model choice in Bayesian VAR models
2014 (English)Doctoral thesis, comprehensive summary (Other academic)
Place, publisher, year, edition, pages
Örebro: Örebro university, 2014
Series
Örebro Studies in Statistics, ISSN 1651-8608
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
urn:nbn:se:oru:diva-34612 (URN)
Public defence
2014-06-02, Forumhuset, Biografen, Örebro universitet, Fakultetsgatan 1, Örebro, 13:15 (English)
Opponent
Available from: 2014-04-08 Created: 2014-04-08 Last updated: 2017-10-17Bibliographically approved

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CiteExportLink to record
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Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
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  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
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Output format
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  • asciidoc
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