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Bayesian vector autoregressions

Silvia Miranda Agrippino and Giovanni Ricco ()
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Silvia Miranda Agrippino: Bank of England

Authors registered in the RePEc Author Service: Silvia Miranda-Agrippino ()

No 18, Sciences Po publications from Sciences Po

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: 2018-05
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https://spire.sciencespo.fr/hdl:/2441/27od5pb99881 ... essions-smiranda.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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