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School of Business, Örebro University Working Papers, School of Business, Örebro University

No 2012:12:
Forecasting with Bayesian Vector Autoregressions

Sune Karlsson ()

Abstract: Prepared for the Handbook of Economic Forecasting, vol 2

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 spe- cial attention is given to the implementation of the simulation algorithm.

Keywords: Markov chain Monte Carlo; Structural VAR; Cointegration; Condi- tional forecasts; Time-varying parameters; Stochastic volatility; Model selection; Large VAR; (follow links to similar papers)

JEL-Codes: C11; C32; C53; (follow links to similar papers)

105 pages, August 4, 2012

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