mean panel VAR (CSVM-PVAR), and develop an efficient Markov chain Monte Carlo algorithm to estimate the model. Using a …, domestic uncertainty shocks tend to raise all three macroeconomic variables. Finally, in a pseudo out-of-sample forecasting …

algorithms. We assess the usefulness of these new models in an inflation forecasting exercise across all G7 economies. We find …

Vector autoregressions combined with Minnesota-type priors are widely used for macroeconomic forecasting. The fact that … strong but sensible priors can substantially improve forecast performance implies VAR forecasts are sensitive to prior … hyperparameters. In a forecasting exercise using US data, we find that forecasts are relatively sensitive to the strength of shrinkage …

Large Bayesian VARs with the natural conjugate prior are now routinely used for forecasting and structural analysis. It … practical and systematic way to develop better shrinkage priors for forecasting in a data-rich environment …

considerably more complex than for a single VAR specification. They cannot be described adequately by the first two moments of the …

-varying parameter specification in density forecasting …