Bayesian VARs of the U.S. economy before and during the pandemic

Anna Sznajderska and Alfred Haug

Eurasian Economic Review, 2023, vol. 13, issue 2, No 2, 236 pages

Abstract: Abstract We compare the forecasting performance of small and large Bayesian vector-autoregressive (BVAR) models for the United States. We do the forecast evaluation of the competing models for the sample that ends before the pandemic and for the sample that contains the pandemic period. The findings document that these models can be used for structural analysis and generate credible impulse response functions. Furthermore, the results indicate that there are only small gains from the application of a large BVAR model compared to a small BVAR model.

Keywords: COVID-19; Bayesian VAR models; Impulse response functions; Forecasting (search for similar items in EconPapers)
JEL-codes: C32 E32 F10 O50 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s40822-023-00229-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
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:spr:eurase:v:13:y:2023:i:2:d:10.1007_s40822-023-00229-9

Ordering information: This journal article can be ordered from
http://www.springer.com/economics/journal/40822

DOI: 10.1007/s40822-023-00229-9

Access Statistics for this article

Eurasian Economic Review is currently edited by Dorothea Schäfer

More articles in Eurasian Economic Review from Springer, Eurasia Business and Economics Society Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().