Kadiyala, K. Rao (Krannert Graduate School of Management, Purdue University) Karlsson, Sune () (Dept. of Economic Statistics, Stockholm School of Economics)
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In Bayesian analysis of VAR-models, and especially in forecasting applications, the Minnesota prior of Litterman is frequently used. In many cases other prior distributions provide better forecasts and are preferable from a theoretical standpoint. This paper considers the numerical procedures needed to implement these prior distributions. In addition we also report on the forecasting performance of the different prior distributions considered in the paper.
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Length: 43 pages Date of creation: Mar 1994 Date of revision: Publication status: Published in Journal of Applied Econometrics, 1997, pages 99-132 Handle: RePEc:hhs:hastef:0012
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