Bayesian vector autoregressions

Silvia Miranda-Agrippino and Giovanni Ricco ()

No 2018-18, Documents de Travail de l'OFCE from Observatoire Francais des Conjonctures Economiques (OFCE)

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 autregression models; BVAR; SVAR; Forecasting. (search for similar items in EconPapers)
JEL-codes: C30 C32 E00 (search for similar items in EconPapers)
Date: 2018-05
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http://www.ofce.sciences-po.fr/pdf/dtravail/OFCEWP2018-18.pdf (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:fce:doctra:1818

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