Conditional Forecasting With a Bayesian Vector Autoregression: Working Paper 2023-08

Byoung Hark Yoo

No 59629, Working Papers from Congressional Budget Office

Abstract: This paper describes how the Congressional Budget Office uses a Bayesian vector autoregression (BVAR) method to generate alternative economic projections to the agency’s baseline. The BVAR includes a wide range of key economic variables that are needed to approximate budget outcomes. Its estimation methods avoid overfitting, a situation in which a model fits historical data well while having a poor ability to project future values.Given targets of future values of some variables such as inflation, the BVAR generates economic projections consistent with

JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2023-11-27
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Persistent link: https://EconPapers.repec.org/RePEc:cbo:wpaper:59629

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