Details

Autor(en) / Beteiligte

• Wozniak, Tomasz

Titel

Bayesian Vector Autoregressions

Ist Teil von

• Australian economic review, 2016-09, Vol.49 (3), p.365-380

Ort / Verlag

Parkville: Blackwell Publishing Ltd

Erscheinungsjahr

2016

Quelle

PAIS Index

Beschreibungen/Notizen

• This article provides an introduction to the burgeoning academic literature on Bayesian vector autoregressions, benchmark models for applied macroeconomic research. I first explain Bayes’ theorem and the derivation of the closed‐form solution for the posterior distribution of the parameters of the model's given data. I further consider parameter shrinkage, a distinguishing feature of the prior distributions commonly employed in the analysis of large data. Finally, I describe the mechanisms that enable feasible computations for these linear models that efficiently extract the information content of many variables for economic forecasting and other applications.