Federal Reserve Bank of Minneapolis
A 14-Variable Mixed-Frequency VAR Model
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.
Cite this item
Kenneth Beauchemin, A 14-Variable Mixed-Frequency VAR Model, Federal Reserve Bank of Minneapolis, Staff Report 493, 19 Dec 2013.
- 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
Keywords: Bayesian Vector Autoregression; Forecasting
This item with handle RePEc:fip:fedmsr:493
is also listed on EconPapers
For corrections, contact Jannelle Ruswick ()