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A note on a Bayesian order determination procedure for vectorautoregressive processes

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Abstract

This paper describes the posterior distribution of the order of a vectorautoregressive model and demonstrates its practical utility via some simulations.

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Authors and Affiliations

  1. Department of Economics, University of Munich, Ludwigstraße 33/IV, D-80539, München, Germany

    Markus Heintel

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  1. Markus Heintel
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Heintel, M. A note on a Bayesian order determination procedure for vectorautoregressive processes. Statistical Papers 39, 213–221 (1998). https://doi.org/10.1007/BF02925408

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  • DOI: https://doi.org/10.1007/BF02925408

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