Bayesian Vector Autoregressions

Approved for publication in the forthcoming Economics and Finance Oxford Research Encyclopedia edited by Jonathan Hamilton by Oxford University Press [Warwick wp]

Updated version:
BVARs: Estimation [Oxford Research Encyclopedia] [PDF]
BVARs: Applications [Oxford Research Encyclopedia] [PDF]

Bank of England Staff Working Paper [PDF]

 


These articles review Bayesian inference methods for Vector Autoregression models, commonly used priors for economic and financial variables, and applications to structural analysis and forecasting.

Comments, and criticisms most gratefully accepted. 

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© 2018 by Giovanni Ricco.

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