Report

A 14-Variable Mixed-Frequency VAR Model

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.

Keywords: Bayesian Vector Autoregression; Forecasting;

JEL Classification: C11; C53; C32;

Bibliographic Information

Provider: Federal Reserve Bank of Minneapolis

Part of Series: Staff Report

Publication Date: 2013-12-19

Number: 493

Pages: 19 pages