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EVALUATING REAL-TIME VAR FORECASTS WITH AN INFORMATIVE DEMOCRATIC PRIOR (repl...
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,... -
VAR FORECASTING USING BAYESIAN VARIABLE SELECTION (replication data)
This paper develops methods for automatic selection of variables in Bayesian vector autoregressions (VARs) using the Gibbs sampler. In particular, I provide computationally...
