Estimating the ordering of variables in a VAR using a Plackett–Luce prior

Ping Wu,Gary Koop

doi:10.1016/j.econlet.2023.111247

Estimating the ordering of variables in a VAR using a Plackett–Luce prior

Ping Wu, Gary Koop

Open Access

https://doi.org/10.1016/j.econlet.2023.111247

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Journal: Economics Letters	Publication Date: Jul 7, 2023
Citations: 1	License type: cc-by

Affiliation: University of Strathclyde

#Markov Chain Monte Carlo #Ordering Of Variables + Show 8 more

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Abstract

Estimating Bayesian Vector Autoregressions (VARs) involving the Cholesky decomposition is sensitive to the ordering of variables. We treat the ordering as unknown, develop a prior over variable orderings and Markov Chain Monte Carlo (MCMC) methods for posterior sampling over orderings.

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