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Archive | ISSUE: , Volume: Jul-Sep-2022

Recent Developments in Bayesian Vector Autoregressive Models


Author:George, U. and Nwabueze, J.C.

published date:2022-Sep-29

FULL TEXT in - | page 101 - 109

Abstract

Keywords: Vector Autoregressive, macroeconomic modeling, Structural analysis, Forecasting,

References

References

George, E.I, Sun, D. and Ni, S. (2008). “Bayesian Stochastic Search for VAR models Restrictions”, Journal of Econometrics 142, 553-580

Giannone, D., Lenza, M. and Primiceri, G. E. (2012). “Prior selection for vector autoregressions”, Working Papers ECARES 2012-002, ULB.

Hamilton, J.D.(1994) Time Series Analysis. Princeton University Press

Kadiyala, K. and Karlsson, S. (1997) “Numerical Methods for Estimation and Inference in Bayesian VAR models”, Journal of Applied Econometrics, 12, 99-132

Karlsson, S. (2013). Forecasting with Bayesian Vector Autoregressions. Handbook of Economic Forecasting. 2, 791-897

Koop, G., 2013. Forecasting with medium and large Bayesian VARs. Journal of Applied Econometrics 28, 177-203

Korobilis, D. (2013).“VAR Forecasting Using Bayesian Variable Selection” Journal of Applied Econometrics, 28, 204-230

Kruschke, J. K. (2011) “Bayesian assessment of null values via parameter estimation and  Model Comparison”, Perspectives on Psychological Science, 6, 299–312. doi: 10.1177/1745691611406925

Litterman, R.B (1986).“Forecasting With Bayesian Vector Autoregressions: Five Years of Experience,” Journal of Business and Economic Statistics 4, 25-38

Louzis (2015).“Steady State Priors and Bayesian Variable Selection in VAR Forecasting” Bank of Greece Working Paper 95

Poirier, D. J.(2006) .”The Growth of Bayesian Methods in Statistics and Economics Since 1970 Bayesian Analysis” Vol. 1, Number 4, pp. 969–980

Sims, C. A., and Zha, T. (1998): “Bayesian Methods for Dynamic Multivariate Models,”International Economic Review, 39(4), 949–68.

Villani, M. (2009): “Steady-State Priors for Vector Autoregressions,” Journal of Applied Econometrics, 24(4), 630–650.

FULL TEXT in - | page 101 - 109

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