VAR: out of sample forecast performance optimization
Posted: Fri Nov 26, 2010 8:58 am
Hi all
In a Bayesian framework, we know it's possible to optimize decay and tight for a univariate autoregression.
Can we do the same for a VAR system - when using the Minnesota prior ?
thx
Apollon
In a Bayesian framework, we know it's possible to optimize decay and tight for a univariate autoregression.
Can we do the same for a VAR system - when using the Minnesota prior ?
thx
Apollon