Inference in Vector Autoregressive Models with an Informative Prior on the Steady State
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More about this item
KeywordsCointegration; Bayesian inference; Forecasting; Unconditional mean; VARs;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: 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
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
- E50 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ECM-2005-03-20 (Econometrics)
- NEP-ETS-2005-03-20 (Econometric Time Series)
- NEP-MAC-2005-03-20 (Macroeconomics)
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