One disadvantage of vector autoregressive (VAR) models is that they require time series to have equal lengths in the estimation process. This requirement induces a loss of potentially valuable information coming from time series that are longer than others. The issue is particularly evident in...

In this paper we involved a study of structural convergence between Romanian and Euro Zone econ- omies from the view point of synchronization in responses to shocks. For this purpose we called a Bayesian framework in which we estimated a time-varying parameters VAR model. For the identifi-...

This work offers two strategies to raise the prediction accuracy of Vector Autoregressive (VAR) Models. The first strategy is to improve the Minnesota prior, which is frequently used for Bayesian VAR models. The improvement is achieved in two ways. First, the variance-covariance matrix of...

The aim of this research is to make predictions for macroeconomic variables like inflation rate, unemployment rate and exchange rate for Romania and Poland using BVAR models. The one-step-ahead forecasts cover the horizon 2011-2013. Direct forecasts were developed using three types of priors for...

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can...

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can...

This paper is motivated by the recent interest in the use of Bayesian VARs for forecasting, even in cases where the number of dependent variables is large. In such cases, factor methods have been traditionally used but recent work using a particular prior suggests that Bayesian VAR methods can...