Macroeconomic forecasting and structural changes in steady states
Dimitrios Louzis ()
No 204, Working Papers from Bank of Greece
This article proposes methods for estimating a Bayesian vector autoregression (VAR) model with an informative steady state prior which also accounts for possible structural changes in the long-term trend of the macroeconomic variables. I show that, overall, the proposed time-varying steady state VAR model can lead to superior point and density macroeconomic forecasting compared to constant steady state VAR specifications.
Keywords: Steady states; time-varying parameters; macroeconomic forecasting (search for similar items in EconPapers)
JEL-codes: C32 (search for similar items in EconPapers)
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