VAR: out of sample forecast performance optimization

Questions and discussions on Vector Autoregressions
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apollon
Posts: 17
Joined: Thu Sep 30, 2010 8:01 am

VAR: out of sample forecast performance optimization

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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
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