Enrico Wegner

Blog

Welcome to my blog. Posts here should not be mistaken with journal grade publications. What I write here is mostly what I learn myself and can therefore contain mistakes. Some blog posts are also just there so that I can structure my thoughts a bit. I publish these posts as a way to motivate myself to keep learning and as a way for others to learn alongside me. If you find any mistakes or have feedback, please leave a comment or get in contact with me.

I am still working on this part of the website. Please come back later to see what I am thinking about.

Notes: Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference

Notes for @ramirezSVAR2010

Dec 2, 2023

22 min

Bayesian VARs - The Likelihood Function

(Bayesian) VARs form the backbone of modern macroeconometrics, but deriving the likelihood of a VAR in a form that is useful for Baysian calculations is not necessarily the most straighforward task. In this blog post I show how the VAR likelihood can be written in a form that is useful for Bayesian calculations.

May 7, 2023

8 min