کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
7408371 1481440 2015 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting with Bayesian multivariate vintage-based VARs
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
پیش نمایش صفحه اول مقاله
Forecasting with Bayesian multivariate vintage-based VARs
چکیده انگلیسی
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.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 31, Issue 3, July–September 2015, Pages 757-768
نویسندگان
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