This paper evaluates the performance of 11 vector autoregressive models in forecasting 15 macroeconomic variables for …

sample (bayesian shrinkage), the forecasting performance of a VAR can be improved by adding macroeconomic variables and … and Reichlin (2010) shows that, when the degree of shrinkage is set in relation to the cross-sectional dimension of the …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … instability in a forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to … improve the forecasting performance. …

forecasting. The empirical results serve as a preliminary guide to understanding the behaviour of BMA under double asymptotics, i …

In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification … lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo …-iterated); discuss the treatment of the error variance and of cross-variable shrinkage; and address a set of additional issues, including …

Small or medium-scale VARs are commonly used in applied macroeconomics for forecasting and evaluating the shock … forecasting context. While none of the methods clearly emerges as best, some techniques turn out to be useful to improve the … forecasting performance. …

This paper shows that Vector Autoregression with Bayesian shrinkage is an appropriate tool for large dynamic models. We … build on the results by De Mol, Giannone, and Reichlin (2008) and show that, when the degree of shrinkage is set in relation … to the cross-sectional dimension, the forecasting performance of small monetary VARs can be improved by adding additional …