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- handle: 10670/1.447p7h
- hal: hal-03458277
- doi: 10.1093/acrefore/9780190625979.013.478
- SCIENCESPO: 2441/27od5pb99881folvtfs8s3k16l
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info:eu-repo/semantics/altIdentifier/hdl/2441/27od5pb99881folvtfs8s3k16l
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Mots-clés
Bayesian inference Vector Autoregression Models BVAR SVAR forecasting C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C30 - General C - Mathematical and Quantitative Methods/C.C3 - Multiple or Simultaneous Equation Models • Multiple Variables/C.C3.C32 - Time-Series Models • Dynamic Quantile Regressions • Dynamic Treatment Effect Models • Diffusion Processes • State Space Models E - Macroeconomics and Monetary Economics/E.E0 - General/E.E0.E00 - GeneralSujets proches
Induction, Ampliative Ampliative induction Inference (Logic) Prediction Forecasts FuturologyCiter ce document
Silvia Miranda Agrippino et al., « Bayesian vector autoregressions », Archive ouverte de Sciences Po (SPIRE), ID : 10.1093/acrefore/9780190625979.013.478
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Résumé
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.