Bayesian averaging of classical estimates in asymmetric vector autoregressive mldels.
Abstract (Omitting an important variable in a model yields biased coefficients that will yield misleading forecasts and incorrect variable relationships. Even through the VAR model views all considered variables as endogenous, it does not address the problem of omitted variables bias. This paper ext...
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Quezon City
University of the Philippines
c2012.
|