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Bayesian vector autoregressions

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  • Miranda-Agrippino, Silvia
  • Ricco, Giovanni

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

  • Miranda-Agrippino, Silvia & Ricco, Giovanni, 2018. "Bayesian vector autoregressions," LSE Research Online Documents on Economics 87393, London School of Economics and Political Science, LSE Library.
  • Handle: RePEc:ehl:lserod:87393
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    File URL: http://eprints.lse.ac.uk/87393/
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    References listed on IDEAS

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    Cited by:

    1. Cimadomo, Jacopo & Giannone, Domenico & Lenza, Michele & Sokol, Andrej & Monti, Francesca, 2020. "Nowcasting with large Bayesian vector autoregressions," Working Paper Series 2453, European Central Bank.
    2. Noss, Joseph & Patel, Rupal, 2019. "Decomposing changes in the functioning of the sterling repo market," Bank of England working papers 797, Bank of England.
    3. Gholami, M. & Barbaresi, A. & Torreggiani, D. & Tassinari, P., 2020. "Upscaling of spatial energy planning, phases, methods, and techniques: A systematic review through meta-analysis," Renewable and Sustainable Energy Reviews, Elsevier, vol. 132(C).
    4. Demiessie, Habtamu, 2020. "COVID-19 Pandemic Uncertainty Shock Impact on Macroeconomic Stability in Ethiopia," MPRA Paper 102625, University Library of Munich, Germany, revised 31 Aug 2020.

    More about this item

    Keywords

    Bayesian inference; Vector Autoregression Models; BVAR; SVAR; forecasting;

    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
    • E0 - Macroeconomics and Monetary Economics - - General
    • E00 - Macroeconomics and Monetary Economics - - General - - - General

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