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The Economic Research Institute, Stockholm School of Economics SSE/EFI Working Paper Series in Economics and Finance

No 12:
Numerical Aspects of Bayesian VAR-modeling

K. Rao Kadiyala and Sune Karlsson ()

Abstract: In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. This paper considers the numerical procedures needed to implement these prior distributions. In addition we also report on the forecasting performance of the different prior distributions considered in the paper.

Keywords: Monte Carlo integration; importance sampling; Gibbs sampling; antithetic variates; forecasting; (follow links to similar papers)

JEL-Codes: C11; C15; C32; C53; (follow links to similar papers)

43 pages, March 1994

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This paper is published as:
Kadiyala, K. Rao and Sune Karlsson, (1997), 'Numerical Aspects of Bayesian VAR-modeling', Journal of Applied Econometrics, Vol. 12, pages 99-132

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