Chin, Kuo-Hsuan; Lee, Zi-Mei - In: Review of Economic Analysis : REA 16 (2024) 3, pp. 287-308
-variable vector autoregression (VAR) model. The Bayesian approach is applied to the large-scale VAR model (LBVAR), and its … (timevarying) forecasting performance is compared to the random-walk model in terms of both forecast accuracy and Giacomini …-Rossi fluctuation tests. We find the random-walk model outperforms the LBVAR model in a short-run forecasting competition. Moreover, the …