Overview
Sune Karlsson is a Swedish econometrician associated with the Stockholm School of Economics and later Örebro University, known for his work on Bayesian VAR modeling and forecasting. His best-known contributions are the pair of papers with K. Rao Kadiyala that compare prior distributions for Bayesian VAR forecasting and provide a systematic critique of the Minnesota prior.
Key Contributions
- Prior comparison (Kadiyala-Karlsson 1993): Co-developed a systematic comparison of five prior distributions for VAR forecasting; demonstrated empirically that the Minnesota prior is inferior to more flexible alternatives in small samples, with the ENC and Normal-Diffuse priors best for short-sample experiments.
- Numerical methods (Kadiyala-Karlsson 1997): Co-developed Gibbs-sampling-based inference and additional numerical methods for Bayesian VAR models, extending the 1993 results to larger systems.
- Swedish unemployment forecasting (Edlund-Karlsson 1993): Compared VAR and transfer function models for forecasting Swedish unemployment.
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