Hi all
In a Bayesian framework, we know it's possible to optimize decay and tight for a univariate autoregression.
Can we do the same for a VAR system - when using the Minnesota prior ?
thx
Apollon
VAR: out of sample forecast performance optimization
1 post
• Page 1 of 1
VAR: out of sample forecast performance optimization
by apollon » Fri Nov 26, 2010 9:58 am
- apollon
- Posts: 17
- Joined: Thu Sep 30, 2010 8:01 am
1 post
• Page 1 of 1
Return to VARs (Vector Autoregression Models)
Who is online
Users browsing this forum: No registered users and 1 guest