Bayesian vector autoregressions

Miranda-Agrippino, Silvia; and Ricco, Giovanni (2018) Bayesian vector autoregressions [Working paper]

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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
Keywords	Bayesian inference, Vector Autoregression Models, BVAR, SVAR, forecasting
Departments	Centre for Macroeconomics
Date Deposited	10 Apr 2018 09:43
URI	https://researchonline.lse.ac.uk/id/eprint/87393