Forecasting with Bayesian multivariate vintage-based VARs
Michael Clements and
Ana Galvão ()
International Journal of Forecasting, 2015, vol. 31, issue 3, 757-768
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.
Keywords: Bayesian VARs; Multiple-vintage models; Forecasting; Output growth; Inflation (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed
Downloads: (external link)
Full text for ScienceDirect subscribers only
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:31:y:2015:i:3:p:757-768
Access Statistics for this article
International Journal of Forecasting is currently edited by R. J. Hyndman
More articles in International Journal of Forecasting from Elsevier
Bibliographic data for series maintained by Haili He ().