Arbeitspapier
Forecasting economic activity with mixed frequency Bayesian VARs
Mixed frequency Bayesian vector autoregressions (MF-BVARs) allow forecasters to incorporate a large number of mixed frequency indicators into forecasts of economic activity. This paper evaluates the forecast performance of MF-BVARs relative to surveys of professional forecasters and investigates the influence of certain specification choices on this performance. We leverage a novel real-time dataset to conduct an out-of-sample forecasting exercise for U.S. real gross domestic product (GDP). MF-BVARs are shown to provide an attractive alternative to surveys of professional forecasters for forecasting GDP growth. However, certain specification choices such as model size and prior selection can affect their relative performance.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 2016-05
- Klassifikation
-
Wirtschaft
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
Prices, Business Fluctuations, and Cycles: Forecasting and Simulation: Models and Applications
- Thema
-
mixed frequency
Bayesian VAR
real-time data
nowcasting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Brave, Scott A.
Butters, R. Andrew
Justiniano, Alejandro
- Ereignis
-
Veröffentlichung
- (wer)
-
Federal Reserve Bank of Chicago
- (wo)
-
Chicago, IL
- (wann)
-
2016
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Brave, Scott A.
- Butters, R. Andrew
- Justiniano, Alejandro
- Federal Reserve Bank of Chicago
Entstanden
- 2016
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