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)

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Abstract

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.

ORCID iDs

Hauzenberger, Niko, Huber, Florian and Koop, Gary ORCID logoORCID: https://orcid.org/0000-0002-6091-378X; Clements, Michael P. and Galvao, Ana Beatriz
  • Item type:Book Section
    ID code:87689
    Dates:
    Date
    Event
    30 November 2024
    Published
    14 August 2023
    Accepted
    Notes:The material cannot be used for any other purpose without further permission of the publisher, and is for private use only.
    Subjects:Social Sciences > Economic Theory
    Department:Strathclyde Business School > Economics
    Depositing user: Pure Administrator
    Date deposited:20 Dec 2023 12:03
    Last modified:11 Nov 2024 15:33
    Related URLs:
    URI:https://strathprints.strath.ac.uk/id/eprint/87689
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