Bayesian Vars : A Survey of the Recent Literature with An Application to the European Monetary System

A Survey of the Recent Literature with An Application to the European Monetary System

Bayesian Vars : A Survey of the Recent Literature with An Application to the European Monetary System
This paper reviews recent advances in the specification and estimation of Bayesian Vector Autoregressive models (BVARs). After describing the Bayesian principle of estimation, we first present the methodology originally developed by Litterman (1986) and Doan et al. (1984) and review alternative priors. We then discuss extensions of the basic... READ MORE...

Publication date: May 2003
ISBN 9781451852639
$15.00

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