Since 2014
Implementing Bayesian Vector Autoregressions
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
Implementing Bayesian Vector Autoregressions
Implementing Bayesian Vector Autoregressions |
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| Creator |
Todd, Richard M.
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| Subject |
—
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| Description |
Implementing Bayesian Vector Autoregressions
This paper discusses how the Bayesian approach can be used to construct a type of multivariate forecasting model known as a Bayesian vector autoregression (BVAR). In doing so, we mainly explain Doan, Littermann, and Sims (1984) propositions on how to estimate a BVAR based on a certain family of prior probability distributions. indexed by a fairly small set of hyperparameters. There is also a discussion on how to specify a BVAR and set up a BVAR database. A 4-variable model is used to iliustrate the BVAR approach. |
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
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| Date |
2010-03-11
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/284
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 3, No 2 (1988); 21-44
Revista de Análisis Económico – Economic Analysis Review; Vol 3, No 2 (1988); 21-44 0718-8870 0716-5927 |
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| Language |
eng
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/284/388
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