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Bayesian Vector Autoregressions

Author

Listed:
  • Silvia Miranda-Agrippino

    (Bank of England
    Centre for Macroeconomics (CFM))

  • Giovanni Ricco

    (OFCE SciencesPo
    University of Warwick)

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.

Suggested Citation

  • Silvia Miranda-Agrippino & Giovanni Ricco, 2018. "Bayesian Vector Autoregressions," Discussion Papers 1808, Centre for Macroeconomics (CFM).
  • Handle: RePEc:cfm:wpaper:1808
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    More about this item

    Keywords

    Bayesian inference; Vector Autoregression models; BVAR; SVAR; forecasting;
    All these keywords.

    JEL classification:

    • C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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