Aufgrund von Vorbereitungen auf eine neue Version von KOPS, können am Montag, 6.2. und Dienstag, 7.2. keine Publikationen eingereicht werden. (Due to preparations for a new version of KOPS, no publications can be submitted on Monday, Feb. 6 and Tuesday, Feb. 7.)
Type of Publication: | Journal article |
Publication status: | Published |
Author: | Frey, Christoph; Mokinski, Frieder |
Year of publication: | 2016 |
Published in: | Journal of Applied Econometrics ; 31 (2016), 6. - pp. 1083-1099. - ISSN 0883-7252. - eISSN 1099-1255 |
DOI (citable link): | https://dx.doi.org/10.1002/jae.2483 |
Summary: |
We propose a Bayesian shrinkage approach for vector autoregressions (VARs) that uses short-term survey forecasts as an additional source of information about model parameters. In particular, we augment the vector of dependent variables by their survey nowcasts, and claim that each variable modelled in the VAR and its nowcast are likely to depend in a similar way on the lagged dependent variables. In an application to macroeconomic data, we find that the forecasts obtained from a VAR fitted by our new shrinkage approach typically yield smaller mean squared forecast errors than the forecasts obtained from a range of benchmark methods.
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Subject (DDC): | 330 Economics |
Bibliography of Konstanz: | Yes |
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FREY, Christoph, Frieder MOKINSKI, 2016. Forecasting with Bayesian Vector Autoregressions Estimated Using Professional Forecasts. In: Journal of Applied Econometrics. 31(6), pp. 1083-1099. ISSN 0883-7252. eISSN 1099-1255. Available under: doi: 10.1002/jae.2483
@article{Frey2016Forec-37504, title={Forecasting with Bayesian Vector Autoregressions Estimated Using Professional Forecasts}, year={2016}, doi={10.1002/jae.2483}, number={6}, volume={31}, issn={0883-7252}, journal={Journal of Applied Econometrics}, pages={1083--1099}, author={Frey, Christoph and Mokinski, Frieder} }
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