Bayesian vector autoregression (English Wikipedia)

Analysis of information sources in references of the Wikipedia article "Bayesian vector autoregression" in English language version.

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10doi.org

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Koop, G.; Korobilis, D. (2010). "Bayesian multivariate time series methods for empirical macroeconomics" (PDF). Foundations and Trends in Econometrics. 3 (4): 267–358. CiteSeerX 10.1.1.164.7962. doi:10.1561/0800000013. SSRN 1514412.
Karlsson, Sune (2012). Forecasting with Bayesian Vector Autoregression. Vol. 2 B. pp. 791–897. doi:10.1016/B978-0-444-62731-5.00015-4. ISBN 9780444627315. {{cite book}}: |journal= ignored (help)
Doan, T.; Litterman, R.; Sims, C. (1984). "Forecasting and conditional projection using realistic prior distributions" (PDF). Econometric Reviews. 3: 1–100. doi:10.1080/07474938408800053.
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio (2014). "Prior Selection for Vector Autoregressions". Review of Economics and Statistics. 97 (2): 436–451. CiteSeerX 10.1.1.375.7244. doi:10.1162/rest_a_00483.
Banbura, T.; Giannone, R.; Reichlin, L. (2010). "Large Bayesian vector auto regressions". Journal of Applied Econometrics. 25 (1): 71–92. doi:10.1002/jae.1137.
Bernanke, B.; Boivin, J.; Eliasz, P. (2005). "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach". The Quarterly Journal of Economics. 120 (1): 387–422. doi:10.1162/0033553053327452.
Koop, G.; Korobilis, D. (2010). "Bayesian multivariate time series methods for empirical macroeconomics" (PDF). Foundations and Trends in Econometrics. 3 (4): 267–358. doi:10.1561/0800000013.
Korobilis, D. (2013). "Assessing the Transmission of Monetary Policy Using Time-varying Parameter Dynamic Factor Models". Oxford Bulletin of Economics and Statistics. 75 (2): 157–179. doi:10.1111/j.1468-0084.2011.00687.x.
Liu, P.; Mumtaz, H.; Theophilopoulou, A. (2017). "The transmission of international shocks to the UK. Estimates based on a time-varying factor augmented VAR". Journal of International Money and Finance. 72: 44–68. doi:10.1016/j.jimonfin.2016.12.002.
Chen, Zhengyang; Valcarcel, Victor J. (October 2021). "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle". Journal of Economic Dynamics and Control. 131: 104214. doi:10.1016/j.jedc.2021.104214. ISSN 0165-1889.

github.com

joergrieger/pybvar 2019: 'pybvar' is a package for bayesian vector autoregression in Python. This package is similar to bvars.

minneapolisfed.org

Litterman, R. (1979). "Techniques of forecasting using vector autoregressions". Federal Reserve Bank of Minneapolis Working Paper. 115: pdf.
Sims, C. (1989). "A nine variable probabilistic macroeconomic forecasting model". Federal Reserve Bank of Minneapolis Discussion Paper. 14: pdf.

nber.org

Doan, T.; Litterman, R.; Sims, C. (1984). "Forecasting and conditional projection using realistic prior distributions" (PDF). Econometric Reviews. 3: 1–100. doi:10.1080/07474938408800053.

psu.edu

citeseerx.ist.psu.edu

Koop, G.; Korobilis, D. (2010). "Bayesian multivariate time series methods for empirical macroeconomics" (PDF). Foundations and Trends in Econometrics. 3 (4): 267–358. CiteSeerX 10.1.1.164.7962. doi:10.1561/0800000013. SSRN 1514412.
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio (2014). "Prior Selection for Vector Autoregressions". Review of Economics and Statistics. 97 (2): 436–451. CiteSeerX 10.1.1.375.7244. doi:10.1162/rest_a_00483.

r-project.org

cran.r-project.org

Kuschnig N; Vashold L. BVAR: Bayesian Vector Autoregressions with Hierarchical Prior Selection in R

repec.org

ideas.repec.org

Karlsson, Sune (2012). Forecasting with Bayesian Vector Autoregression. Vol. 2 B. pp. 791–897. doi:10.1016/B978-0-444-62731-5.00015-4. ISBN 9780444627315. {{cite book}}: |journal= ignored (help)
Giannone, Domenico; Lenza, Michele; Primiceri, Giorgio (2014). "Prior Selection for Vector Autoregressions". Review of Economics and Statistics. 97 (2): 436–451. CiteSeerX 10.1.1.375.7244. doi:10.1162/rest_a_00483.

ssrn.com

papers.ssrn.com

Koop, G.; Korobilis, D. (2010). "Bayesian multivariate time series methods for empirical macroeconomics" (PDF). Foundations and Trends in Econometrics. 3 (4): 267–358. CiteSeerX 10.1.1.164.7962. doi:10.1561/0800000013. SSRN 1514412.

strath.ac.uk

personal.strath.ac.uk

Koop, G.; Korobilis, D. (2010). "Bayesian multivariate time series methods for empirical macroeconomics" (PDF). Foundations and Trends in Econometrics. 3 (4): 267–358. CiteSeerX 10.1.1.164.7962. doi:10.1561/0800000013. SSRN 1514412.
Koop, G.; Korobilis, D. (2010). "Bayesian multivariate time series methods for empirical macroeconomics" (PDF). Foundations and Trends in Econometrics. 3 (4): 267–358. doi:10.1561/0800000013.

worldcat.org

search.worldcat.org

Chen, Zhengyang; Valcarcel, Victor J. (October 2021). "Monetary transmission in money markets: The not-so-elusive missing piece of the puzzle". Journal of Economic Dynamics and Control. 131: 104214. doi:10.1016/j.jedc.2021.104214. ISSN 0165-1889.