Title: Forecasting with Bayesian Vector Autoregression
Abstract: 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.
Publication Year: 2013
Publication Date: 2013-01-01
Language: en
Type: article
Access and Citation
Cited By Count: 46
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot