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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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    Cited by:

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    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.
    5. Albert, Juan-Francisco & Peñalver, Antonio & Perez-Bernabeu, Alberto, 2020. "The effects of monetary policy on income and wealth inequality in the U.S. Exploring different channels," Structural Change and Economic Dynamics, Elsevier, vol. 55(C), pages 88-106.

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

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