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) |
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| 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 |
| Date Deposited: | 10 Apr 2018 09:43 |
| Last Modified: | 13 Sep 2024 20:40 |
| URI: | http://eprints.lse.ac.uk/id/eprint/87393 |
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