This article proposes methods for estimating a Bayesian vector autoregression (VAR) model with an informative steady state prior which also accounts for possible structural changes in the long-term trend of the macroeconomic variables. I show that, overall, the proposed time-varying steady state...

This study proposes methods for estimating Bayesian vector autoregressions (VARs) with an automatic variable selection and an informative prior on the unconditional mean or steady-state of the system. We show that extant Gibbs sampling methods for Bayesian variable selection can be efficiently...

Indicators of economic activity, such as gross domestic product (GDP), are usually published with a significant delay, meaning that central banks and ministries rely on estimates or predictions of the key economic indicators in order to conduct monetary and fiscal policy. The econometric...

We examine the ability of large-scale vector autoregressions (VARs) to produce accurate macroeconomic (output and inflation) and credit (loans and lending rates) forecasts in Greece, during the latest sovereign debt crisis. We implement recently proposed Bayesian shrinkage techniques and we...