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Sparse Bayesian vector autoregressions in huge dimensions
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DOI：10.1002/for.2680.png)
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Abstract
En 中文
We develop a Bayrewriting the error term esian vector autoregressive (VAR) model with multivariate stochastic volatility that is capable of handling vast dimensional information sets. Three features are introduced to permit reliable estimation of the model. First, we assume that the reduced-form errors in the VAR feature a factor stochastic volatility structure, allowing for conditional equation-by-equation estimation. Second, we apply recently developed global-local shrinkage priors to the VAR coefficients to cure the curse of dimensionality. Third, we utilize recent innovations to sample efficiently from high-dimensional multivariate Gaussian distributions. This makes simulation-based fully Bayesian inference feasible when the dimensionality is large but the time series length is moderate. We demonstrate the merits of our approach in an extensive simulation study and apply the model to US macroeconomic data to evaluate its forecasting capabilities.
Keywords:
Dirichlet-Laplace prior
efficient MCMC
factor stochastic volatility
normal-Gamma prior
shrinkage
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