Estimating the ordering of variables in a VAR using a Plackett-Luce Prior

Wu, Ping and Koop, Gary (2023) Estimating the ordering of variables in a VAR using a Plackett-Luce Prior. Economics Letters, 230. 111247. ISSN 0165-1765 (https://doi.org/10.1016/j.econlet.2023.111247)

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Abstract

Estimating Bayesian Vector Autoregressions (VARs) involving the Cholesky decomposition is sensitive to the ordering of variables. We treat the ordering as unknown, develop a prior over variable orderings and Markov Chain Monte Carlo (MCMC) methods for posterior sampling over orderings.

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