Gefang, Deborah - In: International Journal of Forecasting 30 (2014) 1, pp. 1-11
We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for VAR shrinkage. DAELasso achieves … DAELasso and its variants are comparable to those from other popular Bayesian methods, which provides further evidence that the … forecast performances of large and medium sized Bayesian VARs are relatively robust to prior choices, and, in practice, simple …