Bayesian Estimates for Vector Autoregressive Models
- 1 January 2005
- journal article
- Published by Taylor & Francis in Journal of Business & Economic Statistics
- Vol. 23 (1) , 105-117
- https://doi.org/10.1198/073500104000000622
Abstract
This article examines frequentist risks of Bayesian estimates of vector autoregressive (VAR) regression coefficient and error covariance matrices under competing loss functions, under various nonin...Keywords
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