Kadiyala, K Rao; Karlsson, Sune - In: Journal of Applied Econometrics 12 (1997) 2, pp. 99-132
In Bayesian analysis of vector autoregressive models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provided better forecasts and are preferable from a theoretical standpoint. Several of these priors...