Deviance Information Criterion for Comparing VAR Models

Tao Zeng, Yong Li () and Jun Yu
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Tao Zeng: Singapore Management University

No 01-2014, Working Papers from Singapore Management University, School of Economics

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 in Li et al. (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. (search for similar items in EconPapers)
JEL-codes: C11 C12 G12 (search for similar items in EconPapers)
Pages: 20 pages
Date: 2014-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-sea
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Citations: View citations in EconPapers (1)

Published in SMU Economics and Statistics Working Paper Series

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Chapter: Deviance Information Criterion for Comparing VAR Models (2014)
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