G2TT
来源类型Discussion paper
规范类型论文
来源IDDP8273
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
URLhttps://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.
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