February 24, 2015
Technical background document for BVAR models used at CPB
At CPB, we have developed two Bayesian vector autoregressive (VAR) models, one for the Dutch economy and one for the world trade. Both instruments play a supporting role in the forecasting process at CPB.
This CPB Background Document describes the two applications and elaborates extensively on the Bayesian estimation techniques. Readers who are mainly interested in the two applications may decide to skip the technical derivations.
Downloads
English, Pdf, 1.5 MB
Authors
Joris de Wind