Carriero, Andrea; Clark, Todd E.; Marcellino, Massimiliano - In: Journal of Applied Econometrics 30 (2015) 1, pp. 46-73
In this paper we discuss how the point and density forecasting performance of Bayesian vector autoregressions (BVARs) is affected by a number of specification choices. We adopt as a benchmark a common specification in the literature, a BVAR with variables entering in levels and a prior modeled...
