Forecasting with Global Vector Autoregressive Models: A Bayesian Approach
This paper develops a Bayesian variant of global vector autoregressive (B-GVAR) models to forecast an international set of macroeconomic and financial variables. We propose a set of hierarchical priors and compare the predictive performance of B-GVAR models in terms of point and density forecasts fo...
| Main Authors: | , , |
|---|---|
| Format: | Others |
| Language: | en |
| Published: |
Wiley
2016
|
| Online Access: | http://epub.wu.ac.at/4701/1/Crespo_Cuaresma_Huber_Feldkircher.pdf http://dx.doi.org/10.1002/jae.2504 |