Bayesian Compressed Vector Autoregressions

Gary Koop, Dimitris Korobilis and Davide Pettenuzzo ()

Working Papers from Business School - Economics, University of Glasgow

Keywords: multivariate time series; random projection; forecasting (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
Date: 2016-03
New Economics Papers: this item is included in nep-ets and nep-ore
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (16)

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http://www.gla.ac.uk/media/media_452711_en.pdf (application/pdf)

Related works:
Journal Article: Bayesian compressed vector autoregressions (2019)
Working Paper: Bayesian Compressed Vector Autoregressions (2017)
Working Paper: Bayesian Compressed Vector Autoregressions (2016)
Working Paper: Bayesian Compressed Vector Autoregressions (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:gla:glaewp:2016_09

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