setting. Monte Carlo evidence and an empirical forecasting exercise show clear and important gains of the new priors compared …

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

This paper addresses the issue of improving the forecasting performance of vector autoregressions (VARs) when the set …

This paper develops methods for automatic selection of variables in forecasting Bayesian vector autoregressions (VARs … Carlo experiment, and in forecasting 4 macroeconomic series of the UK using time-varying parameters vector autoregressions … (TVP-VARs). Restricted models consistently improve upon their unrestricted counterparts in forecasting, showing the merits …

is assessed in forecasting three major macroeconomic time series of the UK economy. Databased restrictions of VAR … coefficients can help improve upon their unrestricted counterparts in forecasting, and in many cases they compare favorably to …

, thus, making them appropriate for models of large dimensions. A comprehensive forecasting exercise involving TVP-VARs of …