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.
Forecasting with Bayesian multivariate vintage-based VARs / Carriero A; Michael P.Clements; Ana Beatriz Galvão. - In: INTERNATIONAL JOURNAL OF FORECASTING. - ISSN 0169-2070. - ELETTRONICO. - 31:3(2015), pp. 757-768. [https://doi.org/10.1016/j.ijforecast.2014.05.007]
Forecasting with Bayesian multivariate vintage-based VARs
Carriero A;
2015
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.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.