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Bayesian vector autoregressions : applications
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Miranda-Agrippino, Silvia and Ricco, Giovanni (2019) Bayesian vector autoregressions : applications. In: Etilé, Fabrice and Oberlander, Lisa , (eds.) Oxford Research Encyclopedia of Economics and Finance. Oxford University. ISBN 9780190625979
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Official URL: https://doi.org/10.1093/acrefore/9780190625979.013...
Abstract
Bayesian vector autoregressions (BVARs) are standard multivariate autoregressive models routinely used in empirical macroeconomics and finance for structural analysis, forecasting, and scenario analysis in an ever-growing number of applications.
Item Type: | Book Item | ||||||
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Subjects: | H Social Sciences > HB Economic Theory Q Science > QA Mathematics |
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Divisions: | Faculty of Social Sciences > Economics | ||||||
Library of Congress Subject Headings (LCSH): | Bayesian statistical decision theory, Autoregression (Statistics), Macroeconomics -- Mathematical models, Economic forecasting -- Mathematical models | ||||||
Publisher: | Oxford University | ||||||
ISBN: | 9780190625979 | ||||||
Book Title: | Oxford Research Encyclopedia of Economics and Finance | ||||||
Editor: | Etilé, Fabrice and Oberlander, Lisa | ||||||
Official Date: | April 2019 | ||||||
Dates: |
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DOI: | 10.1093/acrefore/9780190625979.013.478 | ||||||
Status: | Peer Reviewed | ||||||
Publication Status: | Published | ||||||
Reuse Statement (publisher, data, author rights): | Miranda-Agrippino, Silvia and Ricco, Giovanni (2019) Bayesian vector autoregressions : applications. In: Etilé, Fabrice and Oberlander, Lisa , (eds.) Oxford Research Encyclopedia of Economics and Finance. Oxford University. ISBN 9780190625979 reproduced by permission of Oxford University Press https://doi.org/10.1093/acrefore/9780190625979.013.478 | ||||||
Access rights to Published version: | Open Access (Creative Commons) | ||||||
Date of first compliant deposit: | 11 October 2018 | ||||||
Date of first compliant Open Access: | 1 April 2021 | ||||||
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