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The frequentist and the Bayesian approach to the estimation of autoregressions are often contrasted. Under standard assumptions, when the ordinary least squares (OLS) estimate is close to 1, a frequentist adjusts it upwards to counter the small sample bias, while a Bayesian who uses a at prior...
A researcher is interested in a set of variables that he wants to model with a vector auto-regression and he has a dataset with more variables. Which variables from the dataset to include in the VAR, in addition to the variables of interest? This question arises in many applications of VARs, in...