The Library
Forecasting with Bayesian multivariate vintage-based VARs
Tools
Tools
Tools
Carriero, Andrea, Clements, Michael P. and Galvão, Ana Beatriz (2014) Forecasting with Bayesian multivariate vintage-based VARs. International Journal of Forecasting, 31 (3). pp. 757-768. doi:10.1016/j.ijforecast.2014.05.007 ISSN 0169-2070.
Research output not available from this repository.
Request-a-Copy directly from author or use local Library Get it For Me service.
Official URL: http://dx.doi.org/10.1016/j.ijforecast.2014.05.007
Abstract
We consider the forecasting of macroeconomic variables that are subject to revisions, using Bayesian vintage-based vector autoregressions. The prior incorporates the belief that, after the first few data releases, subsequent ones are likely to consist of revisions that are largely unpredictable. The Bayesian approach allows the joint modelling of the data revisions of more than one variable, while keeping the concomitant increase in parameter estimation uncertainty manageable. Our model provides markedly more accurate forecasts of post-revision values of inflation than do other models in the literature.
| Item Type: | Journal Article | ||||||
|---|---|---|---|---|---|---|---|
| Divisions: | Faculty of Social Sciences > Economics | ||||||
| Journal or Publication Title: | International Journal of Forecasting | ||||||
| Publisher: | Elsevier | ||||||
| ISSN: | 0169-2070 | ||||||
| Official Date: | July 2014 | ||||||
| Dates: |
|
||||||
| Volume: | 31 | ||||||
| Number: | 3 | ||||||
| Page Range: | pp. 757-768 | ||||||
| DOI: | 10.1016/j.ijforecast.2014.05.007 | ||||||
| Status: | Peer Reviewed | ||||||
| Publication Status: | Published | ||||||
| Access rights to Published version: | Open Access (Creative Commons) |
Request changes or add full text files to a record
Repository staff actions (login required)
 |
View Item |
