Macroeconomic forecasting using BVARs

Hauzenberger, Niko and Huber, Florian and Koop, Gary; Clements, Michael P. and Galvao, Ana Beatriz, eds. (2024) Macroeconomic forecasting using BVARs. In: Handbook of Research Methods and Applications on Macroeconomic Forecasting. Handbooks of Research Methods and Applications . Edward Elgar, Cheltenham, UK. ISBN 9781035310043 (In Press)

[thumbnail of Hauzenberger-Huber-Koop-EE-2024-Macroeconomic-forecasting-using] Text. Filename: Hauzenberger-Huber-Koop-EE-2024-Macroeconomic-forecasting-using.pdf
Accepted Author Manuscript
Restricted to Repository staff only until 1 January 2099.
License: Strathprints license 1.0

Download (1MB) | Request a copy


Bayesian Vector Autoregressions (BVARs) have come a long way since the classic early work of Chris Sims and his co-authors, e.g., Sims (1980) and Doan et al. (1984), and have developed into one of the most popular tools for macroeconomic forecasting. The original Minnesota prior used in early work is still very popular, but a range of alternative priors have been proposed with various properties. In this chapter, we will discuss some of the many new VAR priors that have been proposed over the last decades and discuss their properties.