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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| Format: | Czasopismo |
| Język: | English |
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Washington, D.C. :
International Monetary Fund,
2003.
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| Seria: | IMF Working Papers; Working Paper ;
No. 2003/102 |
| Dostęp online: | Full text available on IMF |