Estimating the ordering of variables in a VAR using a Plackett-Luce Prior
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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.
ORCID iDs
Wu, Ping ORCID: https://orcid.org/0000-0001-8023-8040 and Koop, Gary ORCID: https://orcid.org/0000-0002-6091-378X;-
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Item type: Article ID code: 85915 Dates: DateEvent30 September 2023Published7 July 2023Published Online12 June 2023AcceptedSubjects: Social Sciences > Economic Theory > Methodology > Mathematical economics. Quantitative methods Department: Strathclyde Business School > Economics Depositing user: Pure Administrator Date deposited: 22 Jun 2023 14:11 Last modified: 16 Nov 2024 01:25 Related URLs: URI: https://strathprints.strath.ac.uk/id/eprint/85915
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