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Bayesian Vector Autoregressions

Silvia Miranda-Agrippino () and Giovanni Ricco ()

No 1808, Discussion Papers from Centre for Macroeconomics (CFM)

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 E00 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ets and nep-mac
Date: 2018-03
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http://www.centreformacroeconomics.ac.uk/Discussio ... MDP2018-08-Paper.pdf (application/pdf)

Related works:
Working Paper: Bayesian vector autoregressions (2018) Downloads
Working Paper: Bayesian vector autoregressions (2018) Downloads
Working Paper: Bayesian vector autoregressions (2018) Downloads
Working Paper: Bayesian Vector Autoregressions (2018) Downloads
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