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Empirically, we examine how model specifications and prior choices affect the forecasting performance for GDP growth, inflation, and a short\u2010term interest rate for the G7 economies. We find that hierarchical shrinkage, particularly as implemented with the Horseshoe prior, is very useful in forecasting inflation. It also has the best density forecast performance for output growth and the interest rate. Multi\u2010country models generally improve on the forecast accuracy of single\u2010country models.<\/jats:p>","DOI":"10.1002\/jae.2923","type":"journal-article","created":{"date-parts":[[2022,7,2]],"date-time":"2022-07-02T09:28:32Z","timestamp":1656754112000},"page":"1230-1255","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":9,"title":["Macroeconomic forecasting in a multi\u2010country context"],"prefix":"10.1002","volume":"37","author":[{"given":"Yu","family":"Bai","sequence":"first","affiliation":[{"name":"Bocconi University  Milan Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Andrea","family":"Carriero","sequence":"additional","affiliation":[{"name":"Queen Mary University of London  London UK"},{"name":"University of Bologna  Bologna Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Todd E.","family":"Clark","sequence":"additional","affiliation":[{"name":"Federal Reserve Bank of Cleveland  Cleveland Ohio USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Massimiliano","family":"Marcellino","sequence":"additional","affiliation":[{"name":"Bocconi University, IGIER, and CEPR  Milan Italy"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2022,8,7]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.ijforecast.2018.12.004"},{"key":"e_1_2_10_3_1","unstructured":"Armagan A. 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