Bayesian vector autoregressions
Miranda-Agrippino, S. & Ricco, G.
(2018).
Bayesian vector autoregressions.
(CFM Discussion Paper Series CFM-DP2018-08).
Centre For Macroeconomics, London School of Economics and Political Science.
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.
| Item Type | Working paper |
|---|---|
| Copyright holders | © 2018 Centre for Macroeconomics |
| Departments | LSE > Research Centres > Centre for Macroeconomics |
| Date Deposited | 10 Apr 2018 |
| URI | https://researchonline.lse.ac.uk/id/eprint/87393 |
Explore Further
- http://www.centreformacroeconomics.ac.uk/Discussion-Papers/2018/CFMDP2018-08-Paper.pdf (Publisher)
- https://www.scopus.com/pages/publications/85063525060 (Scopus publication)
- http://www.centreformacroeconomics.ac.uk/Home.aspx (Official URL)