Bayesian vector autoregressions

Silvia Miranda Agrippino and Giovanni Ricco ()
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Silvia Miranda Agrippino: Bank of England and Centre for Economic Performance
Authors registered in the RePEc Author Service: Silvia Miranda-Agrippino

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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)
Date: 2018-05
Note: View the original document on HAL open archive server: https://sciencespo.hal.science/hal-03458277
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Citations: View citations in EconPapers (11)

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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:hal:wpaper:hal-03458277

DOI: 10.1093/acrefore/9780190625979.013.478

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