Scandinavian Working Papers in Economics

SSE/EFI Working Paper Series in Economics and Finance,
Stockholm School of Economics

No 12: Numerical Aspects of Bayesian VAR-modeling

K. Rao Kadiyala and Sune Karlsson ()
Additional contact information
K. Rao Kadiyala: Krannert Graduate School of Management, Purdue University
Sune Karlsson: Dept. of Economic Statistics, Stockholm School of Economics, Postal: Stockholm School of Economics, P.O. Box 6501, 113 83 Stockholm, Sweden

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

JEL-codes: C11; C15; C32; C53

43 pages, March 1994

Full text files

hastef0012.data.zip PKZip archive Data sets and Fortran code
hastef0012.readme.txt text file Read me file

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