Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
Object category:
Elektronische Ressource
Person/Institution:
Publisher:
International Monetary Fund
Ort:
Washington, D.C
Date:
2003
Language:
Englisch
Additional information
Abstract:
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 model and address issues in forecasting and structural analysis. An application to the estimation of a system of time-varying reaction functions for four European central banks under the European Monetary System (EMS) illustrates how some of the results previously presented may be applied in practice
Object text:
Ciccarelli, Matteo
Online-Ausg.
Online-Ausg.
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Administrative details
Created:
2023-04-13
Last changed:
2023-01-26
Added to portal:
2023-04-13
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