Estimating the ordering of variables in a VAR using a Plackett-Luce Prior

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Abstract

Estimating Bayesian Vector Autoregressions (VARs) involving the Cholesky decomposition is sensitive to the ordering of variables. We treat the ordering as unknown, develop a prior over variable orderings and Markov Chain Monte Carlo (MCMC) methods for posterior sampling over orderings.
Original languageEnglish
Article number111247
Number of pages5
JournalEconomics Letters
Volume230
Early online date7 Jul 2023
DOIs
Publication statusPublished - 30 Sept 2023

Keywords

  • variables ordering
  • Plackett-Luce model
  • Markov Chain Monte Carlo

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