EconPapers    
Economics at your fingertips  
 

Prior selection for panel vector autoregressions

Dimitris Korobilis

MPRA Paper from University Library of Munich, Germany

Abstract: There is a vast literature that specifies Bayesian shrinkage priors for vector autoregressions (VARs) of possibly large dimensions. In this paper I argue that many of these priors are not appropriate for multi-country settings, which motivates me to develop priors for panel VARs (PVARs). The parametric and semi-parametric priors I suggest not only perform valuable shrinkage in large dimensions, but also allow for soft clustering of variables or countries which are homogeneous. I discuss the implications of these new priors for modelling interdependencies and heterogeneities among different countries in a panel VAR setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared to existing popular priors for VARs and PVARs.

Keywords: Bayesian model selection; shrinkage; spike and slab priors; forecasting; large vector autoregression (search for similar items in EconPapers)
JEL-codes: C11 C32 C33 C52 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm, nep-ets, nep-for and nep-ore
Date: 2015-04
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/64143/1/MPRA_paper_64143.pdf original version (application/pdf)

Related works:
Journal Article: Prior selection for panel vector autoregressions (2016) Downloads
Working Paper: Prior selection for panel vector autoregressions (2015) Downloads
Working Paper: Prior selection for panel vector autoregressions (2015) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:64143

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().

 
Page updated 2018-11-11
Handle: RePEc:pra:mprapa:64143