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Bayesian vector autoregressions

Author

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  • Silvia Miranda Agrippino

    (Bank of England and Centre for Economic Performance)

  • Giovanni Ricco

    (OFCE - Observatoire français des conjonctures économiques (Sciences Po) - Sciences Po - Sciences Po)

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

  • Silvia Miranda Agrippino & Giovanni Ricco, 2018. "Bayesian vector autoregressions," Working Papers hal-03458277, HAL.
    • Handle: RePEc:hal:wpaper:hal-03458277
    DOI: 10.1093/acrefore/9780190625979.013.478
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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

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