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Forecasting with Bayesian Vector Autoregression
Örebro University, Örebro University School of Business.ORCID iD: 0000-0003-0203-4688
2013 (English)In: Handbook of Economic Forecasting, Volume 2 / [ed] Graham Elliott, Allan Timmermann, Elsevier, 2013, p. 791-897Chapter in book (Refereed)
Abstract [en]

This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the simulation algorithm.

Place, publisher, year, edition, pages
Elsevier, 2013. p. 791-897
Keywords [en]
Markov chain Monte Carlo; Structural VAR; Cointegration; Conditional forecasts; Time-varying parameters; Stochastic volatility; Model selection; Large VAR
National Category
Probability Theory and Statistics Economics
Research subject
Statistics; Economics
Identifiers
URN: urn:nbn:se:oru:diva-30205Scopus ID: 2-s2.0-84881589290ISBN: 978-0-444-62732-2 (print)OAI: oai:DiVA.org:oru-30205DiVA, id: diva2:640466
Projects
Bayesiansk analys av dynamiska faktormodeller
Funder
Riksbankens Jubileumsfond, P09-0972:1-EAvailable from: 2013-08-13 Created: 2013-08-13 Last updated: 2017-10-18Bibliographically approved

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Karlsson, Sune

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