Regularizing Bayesian Predictive Regressions

Breg | Regularize Bayesian predictive regression |

coef.Breg | Extract VAR(1) and SUR coefficient and residual covariance... |

cv.Breg | Select regularization parameters by cross-validation, AIC and... |

cvCom | Compute MSE of predictions in a moving window |

icCom | Compute AIC and BIC of VAR(1) model |

path.Breg | Regularizaiton path of Bayesian predictive regression |

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