Heidari, H. - In: Acta Oeconomica 61 (2011) March, pp. 61-75
This paper investigates the use of different priors to improve the inflation forecasting performance of BVAR models with Litterman’s prior. A Quasi-Bayesian method, with several different priors, is applied to a VAR model of simulated data as well as to the Australian economy from 1978:Q2 to...