BVAR mapping

Boris Demeshev and Oxana Malakhovskaya

Applied Econometrics, 2016, vol. 43, 118-141

Abstract: This paper reviews estimation and forecasting with Bayesian vector autoregressions (BVARs). In the first part of the paper, we propose a clear classification of the most frequently used prior distributions and we show how the parameters of posterior distributions can be computed for the priors we consider in the paper. A separate section describes the endogenous choice of prior hyperparameters that is currently a key step to estimate a BVAR in a data-rich environment. The second part of this paper is devoted to forecasting with BVARs. We review both point and density forecasting.

Keywords: BVAR; prior distributions; point forecasting; density forecasting (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0300

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