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来源类型 | Discussion paper |
规范类型 | 论文 |
来源ID | DP15964 |
DP15964 Addressing COVID-19 Outliers in BVARs with Stochastic Volatility | |
Massimiliano Marcellino; Todd Clark; Andrea Carriero; Elmar Mertens | |
发表日期 | 2021-03-25 |
出版年 | 2021 |
语种 | 英语 |
摘要 | Incoming data in 2020 posed sizable challenges for the use of VARs in economic analysis: Enormous movements in a number of series have had strong effects on parameters and forecasts constructed with standard VAR methods. We propose the use of VAR models with time-varying volatility that include a treatment of the COVID extremes as outlier observations. Typical VARs with time-varying volatility assume changes in uncertainty to be highly persistent. Instead, we adopt an outlier-adjusted stochastic volatility (SV) model for VAR residuals that combines transitory and persistent changes in volatility. In addition, we consider the treatment of outliers as missing data. Evaluating forecast performance over the last few decades in quasi-real time, we find that the outlier-augmented SV scheme does at least as well as a conventional SV model, while both out-perform standard homoskedastic VARs. Point forecasts made in 2020 from heteroskedastic VARs are much less sensitive to outliers in the data, and the outlier-adjusted SV model generates more reasonable gauges of forecast uncertainty than a standard SV model. At least pre-COVID, a close alternative to the outlier-adjusted model is an SV model with t-distributed shocks. Treating outliers as missing data also generates better-behaved forecasts than the conventional SV model. However, since uncertainty about the incidence of outliers is ignored in that approach, it leads to strikingly tight predictive densities. |
主题 | Monetary Economics and Fluctuations |
关键词 | Bayesian vars stochastic volatility Outliers Pandemics forecasts |
URL | https://cepr.org/publications/dp15964 |
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/544954 |
推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Todd Clark,Andrea Carriero,et al. DP15964 Addressing COVID-19 Outliers in BVARs with Stochastic Volatility. 2021. |
条目包含的文件 | 条目无相关文件。 |
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