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Forecasting with Bayesian Vector Autoregression

Listed author(s):
  • Karlsson, Sune

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the simulation algorithm.

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This chapter was published in:
  • G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.
  • This item is provided by Elsevier in its series Handbook of Economic Forecasting with number 2-791.
    Handle: RePEc:eee:ecofch:2-791
    DOI: 10.1016/B978-0-444-62731-5.00015-4
    Contact details of provider: Web page: http://www.elsevier.com/wps/find/bookseriesdescription.cws_home/BS_HE/description

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