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 and others (1984) and review alternative...

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Detalles Bibliográficos
Autor Principal: Ciccarelli, Matteo
Outros autores: Rebucci, Alessandro
Formato: Revista
Idioma:English
Publicado: Washington, D.C. : International Monetary Fund, 2003.
Series:IMF Working Papers; Working Paper ; No. 2003/102
Acceso en liña:Full text available on IMF
Descripción
Summary: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 and others (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.
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Descrición Física:1 online resource (44 pages)
Formato:Mode of access: Internet
ISSN:1018-5941
Acceso:Electronic access restricted to authorized BRAC University faculty, staff and students