Sune Karlsson: Department of Business, Economics, Statistics and Informatics, Postal: Örebro University, Swedish Business School, SE - 701 82 ÖREBRO, Sweden
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.
105 pages, August 4, 2012
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