Comparar métodos
Revisa los métodos seleccionados uno junto a otro; las filas que difieren aparecen resaltadas.
| Modelo de VAR Bayesiano (BVAR)× | Modelo de Corrección de Errores Vectorial Bayesiano (Bayesian VECM)× | |
|---|---|---|
| Campo | Econometría | Econometría |
| Familia | Regression model | Regression model |
| Año de origen≠ | 1984 | 2002–2005 |
| Autor original≠ | Doan, Litterman & Sims | Kleibergen & Paap; Villani |
| Tipo≠ | Multivariate time-series model | Bayesian multivariate time series model |
| Fuente seminal≠ | Doan, T., Litterman, R., & Sims, C. (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3(1), 1–100. DOI ↗ | Kleibergen, F., & Paap, R. (2002). Priors, posteriors and Bayes factors for a Bayesian analysis of cointegration. Journal of Econometrics, 111(2), 223–249. DOI ↗ |
| Alias | BVAR, Bayesian VAR, Bayesian vector autoregressive model, BVAR model | Bayesian VECM, B-VECM, Bayesian cointegrated VAR, Bayesian vector error correction |
| Relacionados | 5 | 5 |
| Resumen≠ | The Bayesian Vector Autoregression (BVAR) model extends the classical VAR framework by incorporating prior beliefs about the model coefficients. Priors — most commonly the Minnesota prior — shrink VAR coefficients toward economically sensible values, dramatically reducing overfitting and improving out-of-sample forecast accuracy even when the number of variables is large. | The Bayesian VECM combines the classical Vector Error Correction Model — which captures both short-run dynamics and long-run cointegrating relationships among non-stationary multivariate time series — with Bayesian prior distributions over the cointegrating rank and coefficient matrices. This allows principled uncertainty quantification, incorporation of economic theory as priors, and coherent inference even in small samples. |
| ScholarGateConjunto de datos ↗ |
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