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This is unfortunate as the steady state is something that economists usually claim to know relatively well. This paper develops easily implemented methods for analyzing both stationary and cointegrated VARs, in reduced or structural form, with an informative prior on the steady state. We document that prior information on the steady state leads to substantial gains in forecasting accuracy on Swedish macro data. A second example illustrates the use of informative steady\u2010state priors in a cointegration model of the consumption\u2010wealth relationship in the USA. Copyright \u00a9 2009 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1065","type":"journal-article","created":{"date-parts":[[2009,3,30]],"date-time":"2009-03-30T12:55:41Z","timestamp":1238417741000},"page":"630-650","source":"Crossref","is-referenced-by-count":144,"title":["Steady\u2010state priors for vector autoregressions"],"prefix":"10.1002","volume":"24","author":[{"given":"Mattias","family":"Villani","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2009,4,27]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jedc.2007.09.012"},{"key":"e_1_2_7_3_1","volume-title":"Bayesian Inference in Dynamic Econometric Models","author":"Bauwens L","year":"1999"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476635"},{"key":"e_1_2_7_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2235166"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511599286"},{"key":"e_1_2_7_7_1","volume-title":"Forecasting Non\u2010stationary Economic Time Series","author":"Clements MP","year":"1999"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500107000000016"},{"key":"e_1_2_7_9_1","volume-title":"RATS User's Manual","author":"Doan TA","year":"1992"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474938408800053"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1080\/07474939908800428"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1093\/0198774508.001.0001"},{"key":"e_1_2_7_13_1","unstructured":"JohnstonLD WilliamsonSH.2008. 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