TY - DATA T1 - evaluating-realtime-var-forecasts-with-an-informative-democratic-prior AU - Wright, Jonathan H. DO - doi:10.15456/jae.2022320.0732855917 AB - This paper proposes Bayesian forecasting in a vector autoregression using a democratic prior. This prior is chosen to match the predictions of survey respondents. In particular, the unconditional mean for each series in the vector autoregression is centered around long-horizon survey forecasts. Heavy shrinkage toward the democratic prior is found to give good real-time predictions of a range of macroeconomic variables, as these survey projections are good at quickly capturing endpoint shifts. ET - 1 PY - 2013 PB - ZBW - Leibniz Informationszentrum Wirtschaft UR - https://journaldata.zbw.eu/dataset/evaluating-realtime-var-forecasts-with-an-informative-democratic-prior ER -