Sökning: onr:"swepub:oai:DiVA.org:uu-364757" >
A mixed-frequency B...
A mixed-frequency Bayesian vector autoregression with a steady-state prior
-
- Ankargren, Sebastian (författare)
- Uppsala universitet,Statistiska institutionen
-
- Unosson, Måns (författare)
- Uppsala universitet,Statistiska institutionen
-
- Yang, Yukai (författare)
- Uppsala universitet,Statistiska institutionen
-
(creator_code:org_t)
- Department of Statistics, Uppsala University, 2018
- Engelska 42 s.
-
Serie: Working paper / Department of Statistics, Uppsala University ; 2018:3
- Relaterad länk:
-
https://uu.diva-port... (primary) (Raw object)
-
visa fler...
-
https://urn.kb.se/re...
-
visa färre...
Abstract
Ämnesord
Stäng
- We consider a Bayesian vector autoregressive (VAR) model allowing for an explicit priorspecication for the included variables' `steady states' (unconditional means) for data measuredat dierent frequencies. We propose a Gibbs sampler to sample from the posteriordistribution derived from a normal prior for the steady state and a normal-inverse-Wishart prior for the dynamics and error covariance. Moreover, we suggest a numerical algorithmfor computing the marginal data density that is useful for nding appropriate values for thenecessary hyperparameters. We evaluate the proposed model by applying it to a real-timedata set where we forecast Swedish GDP growth. The results indicate that the inclusionof high-frequency data improves the accuracy of low-frequency forecasts, in particular forshorter time horizons. The proposed model thus facilitates a simple and helpful way ofincorporating information about the long run through the steady-state prior as well asabout the near future through its ability to cope with mixed frequencies of the data.
Ämnesord
- SAMHÄLLSVETENSKAP -- Ekonomi och näringsliv -- Nationalekonomi (hsv//swe)
- SOCIAL SCIENCES -- Economics and Business -- Economics (hsv//eng)
Publikations- och innehållstyp
- vet (ämneskategori)
- rap (ämneskategori)