User’s Guide : Multiple Equation Analysis : Bayesian VAR Models : References
  
References
Chib, Siddhartha, 1995. “Marginal Likelihood from the Gibbs Output,” Journal of the American Statistical Association, 90m 1313–1321.
Giannone, Domencio, Lenza, Michele, and Primiceri, Giorgio, E, 2012. “Prior Selection for Vector Autoregressions”, ECB Working Paper Series No. 1494.
Kadiyala, R, and Karlsson, S, 1997, “Numerical Methods for Estimation and Inference in Bayesian VAR Models,” Journal of Applied Econometrics, 12, 99–132
Koop, Gary and Korobilis, Dimitris, 2010. “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,” Foundations and Trends in Econometrics.
Sims, Christopher and Zha, Tao, 1998. “Bayesian Methods for Dynamic Multivariate Models,” International Economic Review, 39, 949–968.
Stock, J. H., and M. W. Watson, 2002a. “Forecasting Using Principal Components from a Large Number of Predictors,” Journal of the American Statistical Association, 97, 147–162.