Bayesian Vector Autoregressions

Silvia Miranda-Agrippino and Giovanni Ricco ()

The Warwick Economics Research Paper Series (TWERPS) from University of Warwick, Department of Economics

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 (search for similar items in EconPapers)
Date: 2018
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-ore
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Citations: View citations in EconPapers (12)

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https://warwick.ac.uk/fac/soc/economics/research/w ... twerp_1159_ricco.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:wrk:warwec:1159

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