Construct · 1 fields · 1 citations

Bayesian vector autoregression: a standalone construct

One name. One construct. A landmark on the map.

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Bayesian vectorautoregression1 CONSTRUCTBayesian vectorLITTERMAN · ECONOMETRICS

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Econometrics

a vector autoregression estimated with priors that shrink coefficients toward random walks, improving forecasts.

In econometrics, Bayesian vector autoregression refers to a vector autoregression estimated with priors that shrink coefficients toward random walks, improving forecasts. This meaning comes from Litterman (1986) in Journal of Business & Economic Statistics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

business1 fields · 1 citationsanchor · a standalone constructrandom walk1 fields · 3 citationsanchor · a standalone constructvector autoregression1 fields · 1 citationsanchor · a standalone construct

References

  1. Litterman, R. B. (1986). Forecasting With Bayesian Vector Autoregressions: Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38. https://doi.org/10.1080/07350015.1986.10509491

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