caa a22 4500 606165916 CHVBK 20210128100655.0 cr unu---uuuuu 210128e20150301xx s 000 0 eng 10.1007/s00168-015-0665-1 doi (NATIONALLICENCE)springer-10.1007/s00168-015-0665-1 A comparison of vector autoregressive forecasting performance: spatial versus non-spatial Bayesian priors [Elektronische Daten] [James LeSage, Bryce Cashell] Forecasting performance of spatial versus non-spatial Bayesian priors applied to a large vector autoregressive model that includes the 48 lower US states plus and the District of Columbia is explored. Accuracy of one- to six-quarter-ahead personal income forecasts is compared for a model based on the Minnesota prior used in macroeconomic forecasting and a spatial prior proposed by Krivelyova and LeSage (J Reg Sci 39(2):297-317, 1999). While the Minnesota prior emphasizes time dependence taking the form of a random walk, the spatial prior relies on past values of neighboring state income growth rates while ignoring own-state past income growth. Our findings indicate that forecast accuracy for longer future time horizons is improved by the spatial prior, while that for shorter horizons is better for the non-spatial prior. This motivated a hybrid approach that combines both spatial and time dependence in the prior restrictions placed on the model parameters. Springer-Verlag Berlin Heidelberg, 2015 LeSage James Department of Finance and Economics, Texas State University, 78666, San Marcos, TX, USA aut Cashell Bryce Department of Finance and Economics, Texas State University, 78666, San Marcos, TX, USA aut The Annals of Regional Science Springer Berlin Heidelberg 54/2(2015-03-01), 533-560 0570-1864 54:2<533 2015 54 168 https://doi.org/10.1007/s00168-015-0665-1 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s00168-015-0665-1 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- LeSage James Department of Finance and Economics, Texas State University, 78666, San Marcos, TX, USA aut NATIONALLICENCE 700 1- Cashell Bryce Department of Finance and Economics, Texas State University, 78666, San Marcos, TX, USA aut NATIONALLICENCE 773 0- The Annals of Regional Science Springer Berlin Heidelberg 54/2(2015-03-01), 533-560 0570-1864 54:2<533 2015 54 168