Overview
Aidan Meyler is an economist at the Central Bank of Ireland (Research Department). He co-authored Kenny-Meyler-Quinn (1998), which evaluated Bayesian VAR approaches for forecasting Irish HICP inflation in the run-up to EMU accession. The paper's central methodological contribution was demonstrating that Bayesian shrinkage via the Minnesota prior is essential for VAR inflation forecasting in a small sample: unrestricted five-variable OLS VARs produced Theil U > 1 (worse than naïve), while the Bayesian equivalent achieved Theil U = 0.85.
Key Contributions / Features
- Small-open-economy BVAR design. Co-designed the three-variable {P, P*, E} BVAR1 specification, grounded in the pass-through literature on external price determination of domestic inflation in small open economies.
- Minnesota prior implementation. Applied Theil mixed estimation for the Doan-Litterman-Sims random-walk prior; tuned tightness γ and cross-variable weight w by grid search.
- Robustness of parsimony. Demonstrated that the general prior (treating foreign prices as exogenous univariate ARs per Artis-Zhang 1990) did not improve any of the three BVAR models, arguing against the standard small-open-economy exogeneity restriction.
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