Forecasting with Bayesian Vector Autoregression
Sune Karlsson ()
Chapter Chapter 15 in Handbook of Economic Forecasting, 2013, vol. 2, pp 791-897 from Elsevier
This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the simulation algorithm.
Keywords: Markov chain Monte Carlo; Structural VAR; Cointegration; Conditional forecasts; Time-varying parameters; Stochastic volatility; Model selection; Large VAR (search for similar items in EconPapers)
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Working Paper: Forecasting with Bayesian Vector Autoregressions (2012)
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Persistent link: http://EconPapers.repec.org/RePEc:eee:ecofch:2-791
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