Bayesian vector autoregressions

Silvia Miranda-Agrippino and Giovanni Ricco ()

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: This article reviews Bayesian inference methods for Vector Autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

Keywords: Bayesian inference; Vector Autoregression Models; BVAR; SVAR; forecasting (search for similar items in EconPapers)
JEL-codes: C30 C32 E0 E00 (search for similar items in EconPapers)
Date: 2018-03-23
New Economics Papers: this item is included in nep-ets and nep-mac
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

Downloads: (external link)
http://eprints.lse.ac.uk/87393/ Open access version. (application/pdf)

Related works:
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian Vector Autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian vector autoregressions (2018)
Working Paper: Bayesian Vector Autoregressions (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:87393

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