Evaluating Real-Time VAR Forecasts with an Informative Democratic Prior
نویسندگان
چکیده
منابع مشابه
Evaluating Real-Time VAR Forecasts with an Informative democratic Prior
This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular, the unconditional mean for each series in the vector autoregression is centered around long-horizon survey forecasts. Heavy shrinkage toward the democratic prior is found to give good real-time predictions of a range of...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.1622826