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Evaluating Real‐Time Var Forecasts With An Informative Democratic Prior

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  • Jonathan H. Wright
Abstract
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.
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  • Jonathan H. Wright, 2013. "Evaluating Real‐Time Var Forecasts With An Informative Democratic Prior," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(5), pages 762-776, August.
    • Handle: RePEc:wly:japmet:v:28:y:2013:i:5:p:762-776
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    File URL: http://hdl.handle.net/10.1002/jae.2268
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