Replication data for: Advances in Bayesian Time Series Modeling and the Study of Politics: Theory Testing, Forecasting, and Policy Analysis

But Bayesian approaches to modeling multiple time series have not been critically evaluated. This is in spite of the potential value of these models in international relations, political economy, and other fields of our discipline.

We review recent developments in Bayesian multi-equation time series modeling in theory testing, forecasting, and policy analysis. Methods for constructing Bayesian measures of uncertainty of impulse responses (Bayesian shape error bands) are explained. A reference prior for these models that has proven useful in short- and medium-term forecasting in macroeconomics is described.