Sugita, Katsuhiro - In: Asian journal of economics and banking : AJEB 6 (2022) 2, pp. 142-154
Purpose - The paper compares multi-period forecasting performances by direct and iterated method using Bayesian vector autoregressive (VAR) models. Design/methodology/approach - The paper adopts Bayesian VAR models with three different priors - independent Normal-Wishart prior, the Minnesota...
