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Hyperprior / Hyperparameter / Empirical Bayes method / Prior probability / Bayesian inference / Hierarchical Bayes model / Bayesian VAR / Vector autoregression / Ordinary least squares / Statistics / Bayesian statistics / Conjugate prior


Prior Selection for Vector Autoregressions∗ Domenico Giannone Universit´e Libre de Bruxelles and CEPR Michele Lenza European Central Bank
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Document Date: 2013-10-10 10:20:32

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City

Bruxelles / /

Country

United States / /

Facility

Primiceri Northwestern University / Ordinary Least Square / /

IndustryTerm

large dimensional systems / /

Organization

European Central Bank / Alfred P. Sloan Foundation / Northwestern University / /

Person

Chris Sims / Domenico Giannone / Guenter Coenen / Frank Schorfheide / Giorgio Primiceri / Domenico Giannone Universit / Dimitris Korobilis / Michele Lenza / /

ProgrammingLanguage

ML / /

ProvinceOrState

Minnesota / /

Technology

simulation / Markov chain Monte Carlo algorithm / be implemented using a simple Markov chain Monte Carlo algorithm / /

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