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Bayesian vector autoregressions

Miranda-Agrippino, Silvia and Ricco, Giovanni (2018) Bayesian vector autoregressions. CFM Discussion Paper Series (CFM-DP2018-08). Centre For Macroeconomics, London School of Economics and Political Science, London, UK.

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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.

Item Type: Monograph (Discussion Paper)
Official URL: http://www.centreformacroeconomics.ac.uk/Home.aspx
Additional Information: © 2018 Centre for Macroeconomics
Divisions: Centre for Macroeconomics
Subjects: H Social Sciences > HB Economic Theory
JEL classification: C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C30 - General
C - Mathematical and Quantitative Methods > C3 - Econometric Methods: Multiple; Simultaneous Equation Models; Multiple Variables; Endogenous Regressors > C32 - Time-Series Models
E - Macroeconomics and Monetary Economics > E0 - General
E - Macroeconomics and Monetary Economics > E0 - General > E00 - General
Sets: Research centres and groups > Centre for Macroeconomics
Date Deposited: 10 Apr 2018 09:43
Last Modified: 20 Jan 2020 02:43
URI: http://eprints.lse.ac.uk/id/eprint/87393

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