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A 14-Variable Mixed-Frequency VAR Model

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  • Beauchemin, Kenneth

    (Federal Reserve Bank of Minneapolis)

Abstract

This paper describes recent modifications to the mixed-frequency model vector autoregression (MF-VAR) constructed by Schorfheide and Song (2012). The changes to the model are restricted solely to the set of variables included in the model; all other aspects of the model remain unchanged. Forecast evaluations are conducted to gauge the accuracy of the revised model to standard benchmarks and the original model.

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File URL: http://www.minneapolisfed.org/research/sr/sr493.pdf
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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 493.

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Length: 19 pages
Date of creation: 19 Dec 2013
Date of revision:
Handle: RePEc:fip:fedmsr:493

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Related research

Keywords: Bayesian Vector Autoregression; Forecasting;

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  1. Sims, Christopher A & Zha, Tao, 1998. "Bayesian Methods for Dynamic Multivariate Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 949-68, November.
  2. Giannone, Domenico & Lenza, Michele & Primiceri, Giorgio E, 2012. "Prior Selection for Vector Autoregressions," CEPR Discussion Papers 8755, C.E.P.R. Discussion Papers.
  3. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
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