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Bayesian Vector Autoregressions

Author

Listed:
  • Miranda-Agrippino, Silvia

    (Bank of England and CFM)

  • Ricco, Giovanni

    (University of Warwick and OFCE - SciencesPo)

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," The Warwick Economics Research Paper Series (TWERPS) 1159, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:1159
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    File URL: https://warwick.ac.uk/fac/soc/economics/research/workingpapers/2018/twerp_1159_ricco.pdf
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    References listed on IDEAS

    as
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    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

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