Deviance Information Criterion for Comparing VAR Models

Tao Zeng, Yong Li and Jun Yu

A chapter in Essays in Honor of Peter C. B. Phillips, 2014, vol. 33, pp 615-637 from Emerald Group Publishing Limited

Abstract: Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC) recently developed inLi, Zeng, and Yu (2014b)to determine the best candidate model. RDIC is a better information criterion than the widely used deviance information criterion (DIC) when latent variables are involved in candidate models. Empirical analysis using US data shows that the optimal model selected by RDIC can be different from that by DIC.

Keywords: Bayes factor; DIC; VAR models; Markov Chain Monte Carlo; C11; C12; G12 (search for similar items in EconPapers)
Date: 2014
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Working Paper: Deviance Information Criterion for Comparing VAR Models (2014)
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Persistent link: https://EconPapers.repec.org/RePEc:eme:aecozz:s0731-905320140000033017

DOI: 10.1108/S0731-905320140000033017

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