August 2013
Beginner to intermediate
672 pages
22h 30m
English
Content preview from Handbook of Economic Forecasting
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Chapter 15
Forecasting with Bayesian Vector Autoregression
Sune Karlsson, Department of Statistics, Örebro University School of Business, Örebro University
Abstract
This chapter reviews Bayesian methods for inference and forecasting with VAR models. Bayesian inference and, by extension, forecasting depends on numerical methods for simulating from the posterior distribution of the parameters and special attention is given to the implementation of the simulation algorithm.
Keywords
Markov chain Monte Carlo; Structural VAR; Cointegration; Conditional forecasts; Time-varying parameters; Stochastic volatility; Model selection; Large VAR
1 Introduction
Vector autoregressions (VARs) have become the workhorse model for macroeconomic forecasting. ...
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