Bayesian Vars: A Survey of the Recent Literature with An Application to the European Monetary System
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Beteilige Person: Ciccarelli, Matteo (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Washington, D.C International Monetary Fund 2003
Schriftenreihe:IMF Working Papers Working Paper No. 03/102
Links:http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
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http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
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http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
http://elibrary.imf.org/view/IMF001/00669-9781451852639/00669-9781451852639/00669-9781451852639.xml
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
Umfang:1 Online-Ressource (44 p)
ISBN:1451852630
9781451852639