Title: Forecasting and conditional projection using realistic prior distributions
Description: "This paper develops a forecasting procedure based on a Bayesian method for estimating vector autoregressions.  We apply the procedure to 10 macroeconomic variables and show that it produces more accurate out-of-sample forecasts than univariate equations do.  Although cross-variable responses are damped by the prior, our estimates capture considerable interaction among the variables"--Federal Reserve Bank of Minneapolis web site.
Subjects: Bayesian statistical decision theory, Time-series analysis, Economic forecasting