Wednesday, November 29, 2023

From Bańbura et al. (2010) to Cascaldi-Garcia’s (2022) Pandemic Priors

Authors and guest post by Ole Rummel and Davaajargal Luvsannyam This is the second in a series of blog posts that will present EViews add-in, LBVAR, aimed at estimating and forecasting a large Bayesian VAR model due to Banbura, Giannone and Reichlin (2010). We will discuss and replicate Cascaldi-Garcia (2022) on this blog.