Replication data for: Prior Selection for Vector Autoregressions

Giannone, Domenico, Lenza, Michele, and Primiceri, Giorgio E., (2015) \"Prior Selection for Vector Autoregressions.\" Review of Economics and Statistics 97:2, 436-451.

DataONE2015-05-22 更新30

Prior Selection for Vector Autoregressions

Vector autoregressions (VARs) are flexible time series models that can capture complex dynamic interrelationships among macroeconomic variables. However, their dense parameterization leads to unstable

NBER2012-10-01 更新60

Enforcing Stationarity through the Prior in Vector Autoregressions

Stationarity is a very common assumption in time series analysis. A vector autoregressive process is stable if and only if the roots of its characteristic equation lie outside the unit circle, constra

NIAID Data Ecosystem10