How sensitive are VAR forecasts to prior hyperparameters? : an automated sensitivity analysis

Joshua C.C. Chan, Liana Jacobi and Dan Zhu

Alternative title:	Howe sensitive are vector autoregressions forecasts to prior hyperparameters?
Year of publication:	2019
Authors:	Chan, Joshua ; Jacobi, Liana ; Zhu, Dan
Published in:	Topics in identification, limited dependent variables, partial observability, experimentation, and flexible modelling ; Part A. - Bingley, UK : Emerald Publishing, ISBN 978-1-78973-242-9. - 2019, p. 229-248
Subject:	Vector autoregression \| automatic differentation \| interval forecasts \| model comparison \| sensitivity analysis \| prior robustness \| VAR-Modell \| VAR model \| Sensitivitätsanalyse \| Sensitivity analysis \| Prognoseverfahren \| Forecasting model \| Schätztheorie \| Estimation theory \| Bayes-Statistik \| Bayesian inference \| Zeitreihenanalyse \| Time series analysis

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz im Buch ; Book section
Language:	English
Other identifiers:	10.1108/S0731-90532019000040A010 [DOI]
Source:	ECONIS - Online Catalogue of the ZBW

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