The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting

Andrea Giusto () and İşcan Talan B.
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İşcan Talan B.: Dalhousie University, Halifax, Canada

Studies in Nonlinear Dynamics & Econometrics, 2018, vol. 22, issue 4, 16

Abstract: This paper introduces the rescaled representation of VAR models (R-VARs) and demonstrates its application in forecasting mixed-frequency macroeconomic data. We develop the model, illustrate how to implement it, and derive the asymptotic properties of the estimates. We show that R-VARs provide reliable estimates of the prediction error bands while maintaining the precision of the point forecasts. We illustrate these features by comparing it to a mixed-frequency Bayesian VAR model, the leading alternative in the existing literature.

Keywords: forecasts confidence intervals; mixed-frequency data; real-time forecasting; rescaled VAR model (search for similar items in EconPapers)
JEL-codes: C15 C32 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1515/snde-2017-0047

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