Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland

The aim of this paper is to specify a small econometric model capable of generating adjustment-free, short-run forecasts of key macroeconomic variables on a monthly basis. The aim is carried out using the vector autoregression approach in conjunction with a Bayesian specification procedure. The Bayesian approach to forecasting is reviewed and applied using Finnish data from the 1980s. The out-of-sample forecasting performance of the model is found to be satisfactory.

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Year of publication:	1991
Authors:	Starck, Christian
Publisher:	Helsinki : Bank of Finland

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Series:	Bank of Finland Discussion Papers ; 4/1991
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
ISBN:	951-686-279-9
Other identifiers:	hdl:10419/211607 [Handle] RePEc:zbw:bofrdp:rdp1991_004 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10012147538