Bayesian Doubly Adaptive Elastic-Net Lasso for VAR Shrinkage

JEL codes: 
C11, C32, C53
Version Date: 
Jan 2012

We develop a novel Bayesian doubly adaptive elastic-net Lasso (DAELasso) approach for
VAR shrinkage. DAELasso achieves data selection and coefficients shrinkage in a data based manner.
It constructively deals with the explanatory variables that tend to be highly collinear by encouraging

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