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Volumes:
25
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Journal of Applied Econometrics
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Marta Banbura
;
Domenico Giannone
;
Lucrezia Reichlin
Large Bayesian vector auto regressions (replication data)
This paper shows that vector auto regression (VAR) with Bayesian shrinkage is an appropriate tool for large dynamic models. We build on the results of De Mol and co-workers...
DOI:10.15456/jae.2022319.1307213291
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