Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/82481
Authors: 
Villani, Mattias
Year of Publication: 
2005
Series/Report no.: 
Sveriges Riksbank Working Paper Series 181
Abstract: 
Vector autoregressions have steadily gained in popularity since their introduction in econometrics 25 years ago. A drawback of the otherwise fairly well developed methodology is the inability to incorporate prior beliefs regarding the system's steady state in a satisfactory way. Such prior information are typically readily available and may be crucial for forecasts at long horizons. This paper develops easily implemented numerical simulation algorithms for analyzing stationary and cointegrated VARs in a parametrization where prior beliefs on the steady state may be adequately incorporated. The analysis is illustrated on macroeconomic data for the Euro area.
Subjects: 
Cointegration
Bayesian inference
Forecasting
Unconditional mean
VARs
JEL: 
C11
C32
C53
E50
Document Type: 
Working Paper

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