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

Ping Wu; Gary Koop

doi:10.1016/j.econlet.2023.111247

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

Ping Wu, Gary Koop

Research output: Contribution to journal › Article › peer-review

1 Citation (Scopus)

30 Downloads (Pure)

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 language	English
Article number	111247
Number of pages	5
Journal	Economics Letters
Volume	230
Early online date	7 Jul 2023
DOIs	https://doi.org/10.1016/j.econlet.2023.111247
Publication status	Published - 30 Sept 2023

Keywords

variables ordering
Plackett-Luce model
Markov Chain Monte Carlo

Access to Document

10.1016/j.econlet.2023.111247Licence: CC BY 4.0

Wu-Koop-EL-2023-Estimating-the-ordering-of-variables-in-a-VAR-usingFinal published version, 372 KBLicence: CC BY 4.0

Cite this

@article{4c11c9a60e6c4ef8917c971c658e42aa,

title = "Estimating the ordering of variables in a VAR using a Plackett-Luce Prior",

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.",

keywords = "variables ordering, Plackett-Luce model, Markov Chain Monte Carlo",

author = "Ping Wu and Gary Koop",

year = "2023",

month = sep,

day = "30",

doi = "10.1016/j.econlet.2023.111247",

language = "English",

volume = "230",

journal = "Economics Letters",

issn = "0165-1765",

}

TY - JOUR

T1 - Estimating the ordering of variables in a VAR using a Plackett-Luce Prior

AU - Wu, Ping

AU - Koop, Gary

PY - 2023/9/30

Y1 - 2023/9/30

N2 - 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.

AB - 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.

KW - variables ordering

KW - Plackett-Luce model

KW - Markov Chain Monte Carlo

UR - https://www.sciencedirect.com/journal/economics-letters

U2 - 10.1016/j.econlet.2023.111247

DO - 10.1016/j.econlet.2023.111247

M3 - Article

SN - 0165-1765

VL - 230

JO - Economics Letters

JF - Economics Letters

M1 - 111247

ER -

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

Abstract

Keywords

Access to Document

Other files and links

Fingerprint

Cite this