González, Wildo - In: Revista de Analisis Economico – Economic Analysis Review 27 (2012) 2, pp. 75-119
This article develops a Large Bayesian VAR with more than 100 variables for the Chilean economy, as Banbura, Giannone and Reichlin (2010) shows that, when the degree of shrinkage is set in relation to the cross-sectional dimension of the sample (bayesian shrinkage), the forecasting performance...