Forecasting and turning point predictions in a Bayesian panel VAR model

Fabio Canova and Matteo Ciccarelli

Economics Working Papers from Department of Economics and Business, Universitat Pompeu Fabra

Abstract: We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided.

Keywords: Forecasting; turning points; bayesian methods; panel VAR; Markov chains Monte Carlo methods (search for similar items in EconPapers)
JEL-codes: C11 C15 E32 E37 (search for similar items in EconPapers)
Date: 1999-10
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Forecasting and turning point predictions in a Bayesian panel VAR model (2004)
Working Paper: Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model (2001)
Working Paper: FORECASTING AND TURNING POINT PREDICTIONS IN A BAYESIAN PANEL VAR MODEL (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:upf:upfgen:443

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