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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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    8. Kunovac, Davor & Palenzuela, Diego Rodriguez & Sun, Yiqiao, 2022. "A new optimum currency area index for the euro area," Working Paper Series 2730, European Central Bank.
    9. 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.
    10. Karau, Sören, 2023. "Monetary policy and Bitcoin," Journal of International Money and Finance, Elsevier, vol. 137(C).
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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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