Carriero, Andrea; Clark, Todd; Marcellino, Massimiliano - Federal Reserve Bank of Cleveland - 2011
In this paper we examine how the forecasting performance of Bayesian VARs is affected by a number of specification … length and of both; compare alternative approaches to multi-step forecasting (direct, iterated, and pseudo-iterated); discuss … size of the VAR, modeling in levels or growth rates, and the extent of forecast bias induced by shrinkage. We obtain a …