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Bayesian vector autoregressions
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Miranda-Agrippino, Silvia and Ricco, Giovanni (2018) Bayesian vector autoregressions. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (WERPS) (1159).
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Official URL: https://warwick.ac.uk/fac/soc/economics/research/w...
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.
Item Type: | Working or Discussion Paper (Working Paper) | ||||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||||
Divisions: | Faculty of Social Sciences > Economics | ||||||
Library of Congress Subject Headings (LCSH): | Economic forecasting, Autoregression (Statistics), Bayesian statistical decision theory | ||||||
Series Name: | Warwick economics research papers series (WERPS) | ||||||
Publisher: | University of Warwick. Department of Economics | ||||||
Place of Publication: | Coventry | ||||||
ISSN: | 0083-7350 | ||||||
Official Date: | March 2018 | ||||||
Dates: |
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Number: | 1159 | ||||||
Number of Pages: | 58 | ||||||
Institution: | University of Warwick | ||||||
Status: | Not Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||
Date of first compliant deposit: | 12 March 2018 | ||||||
Date of first compliant Open Access: | 12 March 2018 |
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