[Forum SIS] 14 dicembre 2016 - Seminario STATECONOMICS - Università di Pavia

[Paolo Giudici]

Seminar on Sparse Graphical Vector Autoregression: A Bayesian Approach
Presenter: Daniel Felix Ahey, Boston University
Wednesday, December 14, 2016, 1:00pm
Common Room, Department of Economics, University of Pavia

Abstract:

This paper considers a sparsity approach for inference in large vector
autoregressive (VAR) models. The approach is based on a Bayesian procedure
and a graphical representation of VAR models. We discuss a Markov chain
Monte Carlo algorithm for sparse graph selection, parameter estimation, and
equation-specific lag selection. We show the efficiency of our algorithm on
simulated data and illustrate the effectiveness of our approach in
forecasting macroeconomic time series and in measuring contagion risk among
financial institutions.

-- 
Paolo Giudici
@stateconomist
http://economia.unipv.it/pagp/pagine_personali/giudici/
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