Misspecification-Robust Shrinkage and Selection for VAR Forecasts and IRFs
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下载链接：
https://www.nber.org/papers/w33474
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资源简介：
VARs are often estimated with Bayesian techniques to cope with model dimensionality. The posterior means define a class of shrinkage estimators, indexed by hyperparameters that determine the relative weight on maximum likelihood estimates and prior means. In a Bayesian setting, it is natural to
提供机构：
美国国家经济研究局
创建时间：
2025-02-01
