Scandinavian Working Papers in Economics

Working Papers,
Örebro University, School of Business

No 2012:12: Forecasting with Bayesian Vector Autoregressions

Sune Karlsson ()
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Sune Karlsson: Department of Business, Economics, Statistics and Informatics, Postal: Örebro University, Swedish Business School, SE - 701 82 ÖREBRO, Sweden

Abstract: Prepared for the Handbook of Economic Forecasting, vol 2

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 spe- cial attention is given to the implementation of the simulation algorithm.

Keywords: Markov chain Monte Carlo; Structural VAR; Cointegration; Condi- tional forecasts; Time-varying parameters; Stochastic volatility; Model selection; Large VAR

JEL-codes: C11; C32; C53

105 pages, August 4, 2012

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