Estimating the ordering of variables in a VAR using a Plackett–Luce prior

Ping Wu and Gary Koop

Economics Letters, 2023, vol. 230, issue C

Abstract: Estimating Bayesian Vector Autoregressions (VARs) involving the Cholesky decomposition is sensitive to the ordering of variables. We treat the ordering as unknown, develop a prior over variable orderings and Markov Chain Monte Carlo (MCMC) methods for posterior sampling over orderings.

Keywords: Variables ordering; Plackett–Luce model (search for similar items in EconPapers)
JEL-codes: C11 C32 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:230:y:2023:i:c:s0165176523002720

DOI: 10.1016/j.econlet.2023.111247

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