Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland

Christian Starck

No 4/1991, Bank of Finland Research Discussion Papers from Bank of Finland

Abstract: The aim of this paper is to specify a small econometric model capable of generating adjustment-free, short-run forecasts of key macroeconomic variables on a monthly basis. The aim is carried out using the vector autoregression approach in conjunction with a Bayesian specification procedure. The Bayesian approach to forecasting is reviewed and applied using Finnish data from the 1980s. The out-of-sample forecasting performance of the model is found to be satisfactory.

Date: 1991
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