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Numerical Aspects of Bayesian VAR-modeling
Working paper

Numerical Aspects of Bayesian VAR-modeling

K. Rao Kadiyala and Sune Karlsson
Vol.1994(12)
SSE/EFI Working Paper Series in Economics and Finance, 12, Stockholm School of Economics (SSE)
1994

Abstract

Monte Carlo integration importance sampling Gibbs sampling antithetic variates forecasting C11 C15 C32 C53
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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