Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression

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Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression

Material type: 文書・図像類

Author: Sugita, Katsuhiro

Publisher: 琉球大学国際地域創造学部経済学プログラム

Publication date: 2018-09-21

Material Format: Digital

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Note (General)：: This paper examines forecasting performance of a vector autoregressive (VAR) model by a Bayesian stochastic search variable selection (SSVS) method. W...

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Material Type: 文書・図像類
Title: Evaluation of Forecasting Performance Using Bayesian Stochastic Search Variable Selection in a Vector Autoregression
Author/Editor: Sugita, Katsuhiro
Author Heading: Sugita, Katsuhiro
Publication, Distribution, etc.: 琉球大学国際地域創造学部経済学プログラム
Publication Date: 2018-09-21
Publication Date (W3CDTF): 2018-09-21
Periodical title: 琉球大学経済学ワーキングペーパーシリーズ
No. or year of volume/issue: REWP#01
Issue: REWP#01
Pages: 1-19
Text Language Code: eng
Target Audience: 一般
Note (General): This paper examines forecasting performance of a vector autoregressive (VAR) model by a Bayesian stochastic search variable selection (SSVS) method. We use several artificially generated data sets to evaluate forecasting performance using a direct multiperiod forecasting method with a recursive forecasting exercise. We find that implementing SSVS prior in a VAR improves forecasting performance over unrestricted VAR models for either non-stationary or stationary data. As an illustration of a VAR model with SSVS prior, we investigate US macroeconomic data sets with three variables using a VAR with lag length of ten, and find that the SSVS restrictions on insignificant parameters alleviates over-parameterized problem of VAR and thus offers an appreciable improvement in forecast performance.
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https://u-ryukyu.repo.nii.ac.jp/record/2010037/files/2018-08_WP01_SSVS-VAR-Sim.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
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Original Data Provider (Database): 琉球大学 : 琉球大学学術リポジトリ