Publication Type

Book Chapter

Publication Date

6-2014

Abstract

Vector Autoregression (VAR) has been a standard empirical tool used in macroeconomics and finance. In this paper we discuss how to compare alternative VAR models after they are estimated by Bayesian MCMC methods. In particular we apply a robust version of deviance information criterion (RDIC) recently developed in Li et al. (2014b) to determine the best candidate model. RDIC is a better information criterion than the widely used deviance information criterion (DIC) when latent variables are involved in candidate models. Empirical analysis using US data shows that the optimal model selected by RDIC can be different from that by DIC.

Keywords

Bayes factor, DIC, VAR models, Markov Chain Monte Carlo

Discipline

Econometrics

Research Areas

Econometrics

Publication

Essays in Honor of Peter C. B. Phillips

Volume

33

Editor

Chang, Yoosoon; Fomby, Thomas B.; Park, Joon Y.

First Page

615

Last Page

637

ISBN

9781784411831

Identifier

10.1108/S0731-905320140000033017

Publisher

Emerald

City or Country

Bingley

Creative Commons License

Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License
This work is licensed under a Creative Commons Attribution-Noncommercial-No Derivative Works 4.0 License.

Additional URL

http://dx.doi.org/10.1108/S0731-905320140000033017

Included in

Econometrics Commons

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