Abstract of associated article: Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive se
We propose a class of prior distributions that discipline the long-run behavior of vector autoregressions (VARs). These priors can be naturally elicited using economic theory, which provides guidance
Accurate and reliable Gross Domestic Product (GDP) forecasting is indispensable for informed economic policymaking and risk management. Autocorrelation, a prevalent characteristic of macroeconomic tim