References#
Works cited across the tutorials and explanations.
Thomas Doan, Robert B. Litterman, and Christopher A. Sims. Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3(1):1–100, 1984.
Christopher A. Sims. Macroeconomics and reality. Econometrica, 48(1):1–48, 1980.
Christopher A. Sims, James H. Stock, and Mark W. Watson. Inference in linear time series models with some unit roots. Econometrica, 58(1):113–144, 1990.
Lawrence J. Christiano, Martin Eichenbaum, and Charles L. Evans. Monetary policy shocks: what have we learned and to what end? In Handbook of Macroeconomics, volume 1A, pages 65–148. Elsevier, 1999.
Harald Uhlig. What are the effects of monetary policy on output? results from an agnostic identification procedure. Journal of Monetary Economics, 52(2):381–419, 2005.
Domenico Giannone, Michele Lenza, and Giorgio E. Primiceri. Prior selection for vector autoregressions. The Review of Economics and Statistics, 97(2):436–451, 2015.
Hans Hersbach and others. The ERA5 global reanalysis. Quarterly Journal of the Royal Meteorological Society, 146(730):1999–2049, 2020.
Robert B. Litterman. Forecasting with bayesian vector autoregressions—five years of experience. Journal of Business & Economic Statistics, 4(1):25–38, 1986.
Michele Lenza and Giorgio E. Primiceri. How to estimate a vector autoregression after march 2020. Journal of Applied Econometrics, 37(4):688–699, 2022. Earlier circulated as European Central Bank Working Paper No. 2461 (2020).