Bayesian Vector Autoregression Algorithm

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See: Conditional Forecasting Algorithm, Vector Autoregression, Bayesian Algorithm, Autoregression Algorithm, Multivariate Dataset, ARIMA, Conditional Forecasting.




  • (Geweke & Whiteman, 2005) ⇒ John Geweke, and Charles Whiteman. (2005). “Chapter 1. Bayesian Forecasting.” In: Handbook of Economic Forecasting, 1. doi:10.1016/S1574-0706(05)01001-3
    • ABSTRACT: Bayesian forecasting is a natural product of a Bayesian approach to inference. The Bayesian approach in general requires explicit formulation of a model, and conditioning on known quantities, in order to draw inferences about unknown ones. In Bayesian forecasting, one simply takes a subset of the unknown quantities to be future values of some variables of interest. This paper presents the principles of Bayesian forecasting, and describes recent advances in computational capabilities for applying them that have dramatically expanded the scope of applicability of the Bayesian approach. It describes historical developments and the analytic compromises that were necessary prior to recent developments, the application of the new procedures in a variety of examples, and reports on two long-term Bayesian forecasting exercises.