Nowcasting in a pandemic using non-parametric mixed frequency VARs

DOI10.1016/J.JECONOM.2020.11.006MaRDI QIDQ2106390zbMATH OpenOpenAlexFDO

Authors Florian Huber, Gary Koop, Luca Onorante, Michael Pfarrhofer, Josef Schreiner

Publication date 14 December 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2008.12706

zbMATH Keywords

Bayesianvector autoregressionsmacroeconomic forecastingregression tree models

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• BART: Bayesian additive regression trees
• Bayesian approximate kernel regression with variable selection
• Bayesian regression trees for high-dimensional prediction and variable selection
• DATA AUGMENTATION AND DYNAMIC LINEAR MODELS
• Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors
• Macroeconomics and the reality of mixed frequency data
• Prediction with missing data via Bayesian additive regression trees
• Real-time density forecasts from Bayesian vector autoregressions with stochastic volatility
• Variable prioritization in nonlinear black box methods: a genetic association case study
• Variable selection for BART: an application to gene regulation

Cited in

(3)

• Non-linear dimension reduction in factor-augmented vector autoregressions
• TAIL FORECASTING WITH MULTIVARIATE BAYESIAN ADDITIVE REGRESSION TREES
• Bayesian VARs and prior calibration in times of COVID-19

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