Similar to Ingram and Whiteman (J Monet Econ 34:497–510, <CitationRef CitationID="CR24">1994</CitationRef>), De Jong et al. (in: Proceedings of the American Statistical Association Bayesian, <CitationRef CitationID="CR16">1993</CitationRef>) and Negro and Schorfheide (Int Econ Rev 45:643–673, <CitationRef CitationID="CR17">2004</CitationRef>) , this study proposes a methodology of constructing dynamic stochastic general...</citationref></citationref></citationref>

We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive...

We evaluate conditional predictive densities for US output growth and inflation using a number of commonly-used forecasting models that rely on large numbers of macroeconomic predictors. More specifically, we evaluate how well conditional predictive densities based on the commonly-used normality...

Similar to Ingram and Whiteman (1994), De Jong et al. (1993) and Del Negro and Schorfheide (2004) this study proposes a methodology of constructing Dynamic Stochastic General Equilibrium (DSGE) consistent prior distributions for Bayesian Vector Autoregressive (BVAR) models. The moments of the...