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Bayesian vector autoregressions

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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.
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hal-03458277 , version 1 (30-11-2021)

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Silvia Miranda Agrippino, Giovanni Ricco. Bayesian vector autoregressions. 2018. ⟨hal-03458277⟩
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