JOURNAL ARTICLE
Bayesian group-shrinkage based estimation for panel vector autoregressive models with mixed frequency data
Nilanjana ChakrabortyKshitij KhareGeorge Michailidis
Year: 2025 Journal: The Annals of Applied Statistics Vol: 19 (4) Publisher: Institute of Mathematical Statistics
Keywords:
Autoregressive model Bayesian probability Estimation STAR model Mixed model Bayes estimator Bayesian inference
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Topics
Spatial and Panel Data Analysis
Social Sciences → Economics, Econometrics and Finance → Economics and Econometrics
Financial Risk and Volatility Modeling
Social Sciences → Economics, Econometrics and Finance → Finance
Statistical Methods and Inference
Physical Sciences → Mathematics → Statistics and Probability
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