全球智库信息集成服务系统(G2TT): DP8273 Bayesian VARs: Specification Choices and Forecast Accuracy

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来源类型	Discussion paper
规范类型	论文
来源ID	DP8273
	DP8273 Bayesian VARs: Specification Choices and Forecast Accuracy
	Massimiliano Marcellino; Andrea Carriero; Todd Clark
发表日期	2011-02-28
出版年	2011
语种	英语
摘要	In this paper we discuss how the forecasting performance of Bayesian VARs is affected by a number of specification choices. In the baseline case, we use a Normal-Inverted Wishart (N-IW) prior that, when combined with a (pseudo-) iterated approach, makes the analytical computation of h-step ahead forecasts feasible and simple, in particular when using standard and fixed values for the tightness and the lag length. We then assess the role of the optimal choice of the tightness, of the lag length and of both; compare alternative approaches to h-step ahead forecasting (direct, iterated and pseudo-iterated); discuss the treatment of the error variance and of cross-variable shrinkage; and address a set of additional issues, including the size of the VAR, modeling in levels or growth rates, and the extent of forecast bias induced by shrinkage. We obtain a large set of empirical results, but we can summarize them by saying that we find very small losses (and sometimes even gains) from the adoption of specification choices that make BVAR modeling quick and easy. This finding could therefore further enhance the diffusion of the BVAR as an econometric tool for a vast range of applications.
主题	International Macroeconomics
关键词	Bayesian vars Forecasting Marginal likelihood Prior specification
URL	https://cepr.org/publications/dp8273
来源智库	Centre for Economic Policy Research (United Kingdom)
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/537110
推荐引用方式 GB/T 7714	Massimiliano Marcellino,Andrea Carriero,Todd Clark. DP8273 Bayesian VARs: Specification Choices and Forecast Accuracy. 2011.