---
title: Adaptive Bayesian Shrinkage of High-Dimensional Panel VARs
url: https://www.ml-quant.com/papers/repec/adl-wpaper-2026-05/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-10-09
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: RePEc:adl:wpaper:2026-05
source_url: https://econpapers.repec.org/RePEc:adl:wpaper:2026-05
featured: 2026-10-09
citations: unknown
topic: Econometrics & Forecasting
---


# Adaptive Bayesian Shrinkage of High-Dimensional Panel VARs

A Bayesian spike-and-slab method improves high-dimensional panel VAR forecasting and reveals heterogeneous spillover structures in sovereign bonds and macro data.

- Source: https://econpapers.repec.org/RePEc:adl:wpaper:2026-05
- Identifier: RePEc:adl:wpaper:2026-05
- Released: 2026-10-05
- First featured: Quant Letter No. 134 (2026-10-09): https://www.ml-quant.com/issues/2026-10-09/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Econometrics & Forecasting
- Authors: Zhiruo Zhang, Firmin Doko Tchatoka, Qazi Haque

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