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Bayesian vector autoregressions

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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Preprints, Working Papers, ...
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https://hal-sciencespo.archives-ouvertes.fr/hal-03458277
Contributor : Spire Sciences Po Institutional Repository Connect in order to contact the contributor
Submitted on : Tuesday, November 30, 2021 - 8:12:39 PM
Last modification on : Thursday, April 7, 2022 - 3:38:04 AM

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

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