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Current Trends in Bayesian Methodology with Applications
book

Current Trends in Bayesian Methodology with Applications

by Satyanshu K. Upadhyay, Umesh Singh, Dipak K. Dey, Appaia Loganathan
May 2015
Intermediate to advanced content levelIntermediate to advanced
680 pages
22h 33m
English
Chapman and Hall/CRC
Content preview from Current Trends in Bayesian Methodology with Applications
42 Current Trends in Bayesian Methodology with Applications
period and p (= 8)
4
being the order of the VAR. MSE
0
i
is the MSE of variable
i with the prior restriction imposed exactly (w = 0), while, the baseline Fit is
defined as the average relative MSE from an OLS-estimated VAR containing
the four variables, i.e.
F it =
1
4
4
X
i=1
MSE
i
MSE
0
i
(2.5)
In addition, we also look at the forecast performances of the large-scale BVAR
model for a F it = 0.25(w = 0.14), 0.50(w = 0.26) and 0.75(w = 0.58). Note
that the classical VAR attains a highest possible fit of 0.65 for w = , where
a fit of 0.75 is unattainable. However, the fits of 0.25 and 0.50 are obtained
under
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Publisher Resources

ISBN: 9781482235128