Regression model
Bayesian Vector Autoregression (BVAR)
Bayesian VAR adds Minnesota or other prior distributions to a vector autoregressive model to control over-parameterisation. Introduced by Litterman (1986) and extended to high dimensions by Bańbura, Giannone and Reichlin (2010), it outperforms classical VAR on short series and high-dimensional macroeconomic forecasts.
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Sources
- Litterman, R. B. (1986). Forecasting with Bayesian Vector Autoregressions—Five Years of Experience. Journal of Business & Economic Statistics, 4(1), 25-38. DOI: 10.1080/07350015.1986.10509491 ↗
- Bańbura, M., Giannone, D., & Reichlin, L. (2010). Large Bayesian Vector Auto Regressions. Journal of Applied Econometrics, 25(1), 71-92. DOI: 10.1002/jae.1137 ↗