SSRNEconometrics & Forecasting

Bayesian Vector Autoregression for Joint Macroeconomic Forecasting: Pseudo-Real-Time Evidence, Density Forecasts, Structural Dynamics, Scenario Analysis, and Practical Macro-Risk Use for the United States

The research develops a compact Bayesian VAR for real-time forecasting of GDP growth, inflation, unemployment, and the federal funds rate, with evaluation emphasizing density scores and predictive-interval diagnostics.