Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty
Bibliographic Data
| ID | 21653271 |
|---|---|
| Authors | Michael P Clements (0000-0001-6329-1341, ICMA Centre, Henley Business School University of Reading Reading UK), Ana Beatriz Galvão (0000-0003-3263-9450, Warwick Business School University of Warwick Warwick UK) |
| Year | 2023 |
| Volume | 38 |
| Issue | 2 |
| Pages | 164-185 |
| Publication date | 2023-03-01 |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Applied Econometrics (JOURNAL) |
| Journal identifiers | ISSN: 1099-1255 • E-ISSN: 0883-7252 |
| Publisher | Wiley (PUBLISHER • GB) |
| DOI | 10.1002/jae.2944 |
| OpenAlex | W3093075090 |
| Language | EN |
| References cited | 27 |
Macroeconomic data are subject to data revisions. Yet, the usual way of generating real‐time density forecasts from Bayesian Vector Autoregressive (BVAR) models makes no allowance for data uncertainty from future data revisions. We develop methods of allowing for data uncertainty when forecasting with BVAR models with stochastic volatility. First, the BVAR forecasting model is estimated on real‐time vintages. Second, the BVAR model is jointly estimated with a model of data revisions such that forecasts are conditioned on estimates of the ‘true’ values. We find that this second method generally improves upon conventional practice for density forecasting, especially for the United States
Autoregressive model · Bayesian probability · Bayesian vector autoregression · Econometrics · Economics · SABR volatility model · Statistics · Stochastic volatility · Computer Science · Financial Risk and Volatility Modeling · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact
Stochastic Volatility
On Gibbs sampling for state space models
Output Fluctuations in the United States
Forecasting and conditional projection using realistic prior distributions
Macroeconomics and Reality
Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
VAR Estimation and Forecasting When Data Are Subject to Revision
Assessing Macro Uncertainty in Real-Time When Data Are Subject To Revision
Testing for Volatility Changes in U.S. Macroeconomic Time Series
The Use and Abuse of Real-Time Data in Economic Forecasting
| Highly cited | No |
|---|