Bayesian SUR and VAR Models

References

Dummy observations

[Sims03] Implementing conjugate priors with dummy observations

[Sims05] Conjugate dummy observations priors for VAR's

Bayesian VAR

[RubWagZah10] Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference

[DelNegroSchorfheide10] Bayesian Macroeconometrics

[CanCic09] Estimating multicountry VAR models