A 14-Variable Mixed-Frequency VAR Model

Kenneth Beauchemin

No 493, Staff Report from Federal Reserve Bank of Minneapolis

Abstract: This paper describes recent modifications to the mixed-frequency model vector autoregression (MF-VAR) constructed by Schorfheide and Song (2012). The changes to the model are restricted solely to the set of variables included in the model; all other aspects of the model remain unchanged. Forecast evaluations are conducted to gauge the accuracy of the revised model to standard benchmarks and the original model.

Keywords: Bayesian Vector Autoregression; Forecasting (search for similar items in EconPapers)
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
Pages: 19 pages
Date: 2013-12-19
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedmsr:493

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