"This paper illustrates the application of observable index models to the problem of macroeconomic forecasting. In this context, a Bayesian prior is used to describe a class of models which impose the index structure with more or less weight. An out-of-sample forecasting experiment is used to...

"This paper describes a Bayesian specification procedure used to generate a vector autoregressive model for forecasting macroeconomic variables. The specification search is over parameters of a prior. This quasi-Bayesian approach is viewed as a flexible tool for constructing a filter which...