This paper evaluates the performance of 11 vector autoregressive models in forecasting 15 macroeconomic variables for … outperforms others at all horizons for any of the variables, the Bayesian VARs and Bayesian Factor Augmented VAR models on average …

The paper develops a Small Open Economy New Keynesian DSGE-VAR (SOENKDSGEVAR) model of the South African economy … model, the classical VAR and BVAR models, with the latter being estimated based on six alternative priors, namely, Non … Variable Selection (SSVS) prior on VAR coefficients and SSVS prior on both VAR coefficients and error covariance. Overall, we …

against standard forecasting models. U.S. inflation forecasts improve when controlling for persistence and economic policy …

We compare the forecasting performances of the classical and the Minnesota-type Bayesian vector autoregressive (VAR … the linear fixed coefficients classical VAR. However, we do not observe marked gains in forecasting power across the … algorithm for variable selection, estimated using Markov Chain Monte Carlo methods. In this regard, we analyze the forecasting …

accommodates a large cross-section of macroeconomic time series for forecasting per capita growth rate, inflation, and the nominal … over 2001Q1 to 2006Q4, indicate that the DFMs significantly outperform alternative models such as an unrestricted VAR …, Bayesian VARs (BVARs) and a typical New Keynesian Dynamic Stochastic General Equilibrium (NKDSGE) model in forecasting the …

time series for forecasting regional house price inflation. As a case study, we use data on house price inflation for five …

This paper compares the forecasting ability of five alternative types of models in predicting four key macroeconomic … Stochastic General Equilibrium, the unrestricted VAR, and the small-scale Bayesian Vector Autoregressive models, which are …