EconPapers    
Economics at your fingertips  
 

A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior

Sebastian Ankargren (sebastian.ankargren@statistik.uu.se), Unosson Måns and Yukai Yang
Additional contact information
Unosson Måns: Department of Statistics, Uppsala University, Uppsala, Sweden

Journal of Time Series Econometrics, 2020, vol. 12, issue 2, 41

Abstract: We propose a Bayesian vector autoregressive (VAR) model for mixed-frequency data. Our model is based on the mean-adjusted parametrization of the VAR and allows for an explicit prior on the “steady states” (unconditional means) of the included variables. Based on recent developments in the literature, we discuss extensions of the model that improve the flexibility of the modeling approach. These extensions include a hierarchical shrinkage prior for the steady-state parameters, and the use of stochastic volatility to model heteroskedasticity. We put the proposed model to use in a forecast evaluation using US data consisting of 10 monthly and three quarterly variables. The results show that the predictive ability typically benefits from using mixed-frequency data, and that improvement can be obtained for both monthly and quarterly variables. We also find that the steady-state prior generally enhances the accuracy of the forecasts, and that accounting for heteroskedasticity by means of stochastic volatility usually provides additional improvements, although not for all variables.

Keywords: VAR; state space models; nowcasting; macroeconometrics; stochastic volatilty (search for similar items in EconPapers)
Date: 2020
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://doi.org/10.1515/jtse-2018-0034 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Journal Article: A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior (2020) Downloads
Working Paper: A Flexible Mixed-Frequency Vector Autoregression with a Steady-State Prior (2019) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:jtsmet:v:12:y:2020:i:2:p:41:n:1

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jtse/html

DOI: 10.1515/jtse-2018-0034

Access Statistics for this article

Journal of Time Series Econometrics is currently edited by Javier Hidalgo

More articles in Journal of Time Series Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla (peter.golla@degruyter.com).

 
Page updated 2024-11-05
Handle: RePEc:bpj:jtsmet:v:12:y:2020:i:2:p:41:n:1