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Forecasting with Bayesian Vector Autoregressions Revisited

In: Recent Developments in Bayesian Econometrics and Their Applications

Author

Listed:
  • Jamie L. Cross

    (University of Melbourne, Melbourne Business School)

  • Herman K. van Dijk

    (Erasmus University Rotterdam, Tinbergen Institute
    Norges Bank)

Abstract

Given the excellent contributions from Sune Karlsson on forecasting with Bayesian vector autoregression (BVAR) models, we reflect here on the major contributions and developments in that literature since its inception in the 1980s. Methodologically, we conduct a bibliometric analysis of 270 research articles that are contained within the Web of Science database. Results across four key areas of the literature are presented: publication trends, leading research topics, leading articles and authors, and social structure of research. Throughout the article, we also provide some more personal insights into Karlsson’s contributions and impact on the field, and to Bayesian VAR models more generally.

Suggested Citation

  • Jamie L. Cross & Herman K. van Dijk, 2025. "Forecasting with Bayesian Vector Autoregressions Revisited," Springer Books, in: Stepan Mazur & Pär Österholm (ed.), Recent Developments in Bayesian Econometrics and Their Applications, pages 7-22, Springer.
    • Handle: RePEc:spr:sprchp:978-3-032-00110-8_2
    DOI: 10.1007/978-3-032-00110-8_2
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