The article by Zellner and Ando proposes methods for coping with the excess kurtosis that is often observed in disturbances in applications of the seemingly unrelated regressions (SUR) model. This is an important topic which is of particular relevance in forecasting. However, the proposed...

Bayesian inference in a time series model provides exact out-of-sample predictive distributions that fully and coherently incorporate parameter uncertainty. This study compares and evaluates Bayesian predictive distributions from alternative models, using as an illustration five alternative...