FORECASTING AND TURNING POINT PREDICTIONS IN A BAYESIAN PANEL VAR MODEL

Fabio Canova and Matteo Ciccarelli

Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie)

Abstract: We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided.

Keywords: Forecasting; Turning Points; Bayesian Methods; Panel VAR; Markov Chains Monte Carlo Methods (search for similar items in EconPapers)
Pages: 36 pages
Date: 2000-03
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (7)

Published by Ivie

Downloads: (external link)
http://www.ivie.es/downloads/docs/wpasad/wpasad-2000-05.pdf Fisrt version / Primera version, 2000 (application/pdf)

Related works:
Journal Article: Forecasting and turning point predictions in a Bayesian panel VAR model (2004)
Working Paper: Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model (2001)
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:ivi:wpasad:2000-05

Access Statistics for this paper

More papers in Working Papers. Serie AD from Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie) Contact information at EDIRC.
Bibliographic data for series maintained by Departamento de Edición (edicion@ivie.es).