Bragoudakis, Zacharias; Krompas, Ioannis - 2022
Building on a proper selection of macroeconomic variables for constructing a GDP forecasting multivariate model … (Kazanas, 2017), this paper evaluates whether alternative Bayesian model specifications can provide greater forecasting …’s prior (1979) and a Bayesian VAR with time-varying parameters (TVP-BVAR) (Primiceri, 2005). The out-of-sample forecasting …