Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic
Frank Schorfheide and
Dongho Song
No 29535, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
We resuscitated the mixed-frequency vector autoregression (MF-VAR) developed in Schorfheide and Song (2015, JBES) to generate macroeconomic forecasts for the U.S. during the COVID-19 pandemic in real time. The model combines eleven time series observed at two frequencies: quarterly and monthly. We deliberately did not modify the model specification in view of the COVID-19 outbreak, except for the exclusion of crisis observations from the estimation sample. We compare the MF-VAR forecasts to the median forecast from the Survey of Professional Forecasters (SPF). While the MF-VAR performed poorly during 2020:Q2, subsequent forecasts were at par with the SPF forecasts. We show that excluding a few months of extreme observations is a promising way of handling VAR estimation going forward, as an alternative of a sophisticated modeling of outliers.
JEL-codes: C11 C32 C53 (search for similar items in EconPapers)
Date: 2021-12
New Economics Papers: this item is included in nep-ecm, nep-for, nep-mac and nep-ore
Note: EFG ME
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)
Downloads: (external link)
http://www.nber.org/papers/w29535.pdf (application/pdf)
Related works:
Journal Article: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2024) 
Working Paper: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2021) 
Working Paper: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2020) 
Working Paper: Real-Time Forecasting with a (Standard) Mixed-Frequency VAR During a Pandemic (2020) 
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:nbr:nberwo:29535
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w29535
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().