Large Bayesian VARs with the natural conjugate prior are now routinely used for forecasting and structural analysis. It has been shown that selecting the prior hyperparameters in a data-driven manner can often substantially improve forecast performance. We propose a computationally efficient...

Bayesian vector autoregressions are widely used for macroeconomic forecasting and structural analysis. Until recently, however, most empirical work had considered only small systems with a few variables due to parameter proliferation concern and computational limitations. We first review a...