Title: Specifying vector autoregressions for macroeconomic forecasting
Description: "This paper describes a Bayesian specification procedure used to generate a vector autoregressive model for forecasting macroeconomic variables.  The specification search is over parameters of a prior.  This quasi-Bayesian approach is viewed as a flexible tool for constructing a filter which optimally extracts information about the future from a set of macroeconomic data.  The procedure is applied to a set of data and a consistent improvement in forecasting performance is documented"--Federal Reserve Bank of Minneapolis web site.
Subjects: Mathematical models, Macroeconomics, Bayesian statistical decision theory, Economic forecasting