JSM 2004 Online Program

Abstract #301018

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Activity Number:	14
Type:	Topic Contributed
Date/Time:	Sunday, August 8, 2004 : 2:00 PM to 3:50 PM
Sponsor:	Section on Bayesian Statistical Science
Abstract - #301018
Title:	Stochastic Search Model Selection for Restricted VAR Models
Author(s):	Shawn Ni*+ and Dongchu Sun and Edward I. George
Companies:	University of Missouri and University of Missouri, Columbia and University of Pennsylvania
Address:	118 Professional Bldg, Columbia, MO, 65211,
Keywords:	model selection ; Bayesian VAR ; stochastic search ; MCMC
Abstract:	We conduct Bayesian stochastic variable selection of Vector Autoregressive (VAR) models. We develop a Markov chain Monte Carlo (MCMC) algorithm that selects the elements of both VAR regression coefficients matrix and error variance matrix. Numerical simulations show that our approach is quite effective. We apply the method in selection among models of business cycles with both macroeconomic and industry-specific shocks.

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