ABSTRACT
The study proposed a Stochastic
Search Variable Selection Diffuse (SSVS-Diffuse) method for selecting
restriction in Vector Autoregressive (VAR) models. This was done by eliciting a
new class of Stochastic Search Variable Selection (SSVS) prior using diffuse
prior for the variance covariance which allows for non-diagonal treatment of
the variance covariance matrix. The performance
of the SSVS-Diffuse was evaluated using a Monte Carlo experiment with 50
replications after deriving the posterior distribution which have no closed
form solution. The study generated different sample
sizes of VAR, namely T=50,100, 200 and 500 from a two variable, three variable
and four variable VAR models with VAR order set at one, VAR(1), two, VAR(2),
three, VAR(3) and four, VAR(4) and these models were fitted. The VAR
model was simulated from a Multivariate Normal distribution under two scenarios
when the variables were independent and when the variables were correlated with
various levels of correlations; very
high,
GEORGE, G (2022). Stochastic Search Variable Selection Diffuse In Bayesian Vector Autoregressive Models. Repository.mouau.edu.ng: Retrieved Dec 09, 2024, from https://repository.mouau.edu.ng/work/view/stochastic-search-variable-selection-diffuse-in-bayesian-vector-autoregressive-models-7-2
GEORGE, GEORGE. "Stochastic Search Variable Selection Diffuse In Bayesian Vector Autoregressive Models" Repository.mouau.edu.ng. Repository.mouau.edu.ng, 11 Oct. 2022, https://repository.mouau.edu.ng/work/view/stochastic-search-variable-selection-diffuse-in-bayesian-vector-autoregressive-models-7-2. Accessed 09 Dec. 2024.
GEORGE, GEORGE. "Stochastic Search Variable Selection Diffuse In Bayesian Vector Autoregressive Models". Repository.mouau.edu.ng, Repository.mouau.edu.ng, 11 Oct. 2022. Web. 09 Dec. 2024. < https://repository.mouau.edu.ng/work/view/stochastic-search-variable-selection-diffuse-in-bayesian-vector-autoregressive-models-7-2 >.
GEORGE, GEORGE. "Stochastic Search Variable Selection Diffuse In Bayesian Vector Autoregressive Models" Repository.mouau.edu.ng (2022). Accessed 09 Dec. 2024. https://repository.mouau.edu.ng/work/view/stochastic-search-variable-selection-diffuse-in-bayesian-vector-autoregressive-models-7-2