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We apply the methods to postwar US inflation and GDP growth. The noncausal model is found superior in terms of both in\u2010sample fit and out\u2010of\u2010sample forecasting performance over its conventional causal counterpart. Economic shocks based on the noncausal model turn out to be highly anticipated in advance. We also find the GDP growth to have predictive power for future inflation, but not vice versa. Copyright \u00a9 2016 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.2497","type":"journal-article","created":{"date-parts":[[2016,1,10]],"date-time":"2016-01-10T11:28:08Z","timestamp":1452425288000},"page":"1392-1406","source":"Crossref","is-referenced-by-count":9,"title":["Noncausal Bayesian Vector Autoregression"],"prefix":"10.1002","volume":"31","author":[{"given":"Markku","family":"Lanne","sequence":"first","affiliation":[{"name":"Department of Political and Economic Studies and HECER University of Helsinki Finland"},{"name":"CREATES, Aarhus University Denmark"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jani","family":"Luoto","sequence":"additional","affiliation":[{"name":"Department of Political and Economic Studies and HECER University of Helsinki Finland"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2016,1,8]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1751-5823.2011.00131.x"},{"key":"e_1_2_8_3_1","doi-asserted-by":"crossref","unstructured":"BauwensL KoopG KorobilisD RomboutsJVK.2011.A comparison of forecasting procedures for macroeconomic series: the contribution of structural break models. 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