Forecasting With Bayesian Vector Autoregressions—Five Years of Experience
Forecasting With Bayesian Vector Autoregressions—Five Years of Experience
Abstract The results obtained in five years of forecasting with Bayesian vector autoregressions (BVAR's) demonstrate that this inexpensive, reproducible statistical technique is as accurate, on average, as those used by the best known commercial forecasting services. This article considers the problem of economic forecasting, the justification for the Bayesian approach, …