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Everything about Bayesian vector autoregression
Statistical estimation method
In statistics and econometrics, Bayesian vector autoregression (BVAR) uses Bayesian methods to estimate a vector autoregression (VAR) model. BVAR differs with standard VAR models in that the model parameters are treated as random variables, with prior probabilities, rather than fixed values. Wikipedia →
🧭 Start here: a 6-step reading path
- Read the overview: Bayesian vector autoregressionA 5-minute orientation
- Skim a recent paper: Unraveling the Nexus between Sustainable Development, Bank Profitability, and Loan Loss Provisions in Vietnam: A Bayesian Vector Autoregression PerspectiveInfluential work since 2022
- Pick up a classic book: Introduction to Multiple Time Series AnalysisThe most-reprinted book on the subject
- Read the landmark paper: Developing a Bayesian vector autoregression forecasting modelCited 81 times
- Go sideways: Harald UhligA closely related topic
- Go sideways: Vector autoregressionA closely related topic
📖 Definitions
No dictionary entry for this exact phrase.
🗂️ The subject at a glance
🏆 Landmark papers (most cited)
Developing a Bayesian vector autoregression forecasting model
Sparse Graphical Vector Autoregression: A Bayesian Approach
Improving Economic Forecasting With Bayesian Vector Autoregression
A Bayesian Poisson Vector Autoregression Model
Identification of Economic Shocks by Inequality Constraints in Bayesian Structural Vector Autoregression
Bayesian Compressed Vector Autoregression for Financial Time-Series Analysis and Forecasting
Forecasting and Policy Analysis With Bayesian Vector Autoregression Models
Bayesian mixed-frequency quantile vector autoregression: Eliciting tail risks of monthly US GDP
🆕 Influential since 2022
Unraveling the Nexus between Sustainable Development, Bank Profitability, and Loan Loss Provisions in Vietnam: A Bayesian Vector Autoregression Perspective
Conditional forecasting of bus travel time and passenger occupancy with Bayesian Markov regime-switching vector autoregression
Small open economies and external shocks: an application of Bayesian global vector autoregression model
A Bayesian panel vector autoregression to analyze the impact of climate shocks on high-income economies
Markov-Switching Bayesian Vector Autoregression Model in Mortality Forecasting
📚 Books worth reading
Introduction to Multiple Time Series AnalysisHelmut Lütkepohl, Helmut Lutkepohl · 1991- 📕Forecasting with Bayesian vector autoregressionsK. R. Kadiyala · 1989
- 📕A Bayesian procedure for forecasting with vector autoregressions and forecasting with bayesian vector autoregressions--four years of experienceRobert B. Litterman · 1985
- 📕Specifying vector autoregressions for macroeconomic forecastingRobert B. Litterman · 1984
Time Series AnalysisJames D. Hamilton · 1994
Handbook of computational econometricsDavid A. Belsley, Erricos John Kontoghiorghes · 2009- 📕Macroeconometrics and time series analysisSteven N. Durlauf, Lawrence Blume · 2010
A course in time series analysisRuey S. Tsay · 2001
Ranked by number of editions on Open Library, a rough measure of how lasting a book is.
🔗 Related topics
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