Estimating the ordering of variables in a VAR using a Plackett–Luce prior

Wu Ping; Gary M. Koop

doi:https://doi.org/10.1016/j.econlet.2023.111247

Estimating the ordering of variables in a VAR using a Plackett–Luce prior

Wu Ping, Gary M. Koop · Economics Letters · 2023

Estimating Bayesian Vector Autoregressions (VARs) involving the Cholesky decomposition is sensitive to the ordering of variables. We treat the ordering as unknown, develop a prior over variable orderings and Markov Chain Monte Carlo (MCMC) methods for posterior sampling over orderings.

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