Real-time forecasting with a mixed-frequency VAR
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- Frank Schorfheide & Dongho Song, 2015. "Real-Time Forecasting With a Mixed-Frequency VAR," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 366-380, July.
- Frank Schorfheide & Dongho Song, 2013. "Real-Time Forecasting with a Mixed-Frequency VAR," NBER Working Papers 19712, National Bureau of Economic Research, Inc.
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More about this item
Keywords
Bayesian statistical decision theory ; Forecasting ; Vector autoregression;JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ALL-2012-09-16 (All new papers)
- NEP-ECM-2012-09-16 (Econometrics)
- NEP-ETS-2012-09-16 (Econometric Time Series)
- NEP-FOR-2012-09-16 (Forecasting)
- NEP-MST-2012-09-16 (Market Microstructure)
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