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Federal Reserve Bank of Minneapolis
Staff Report
A 14-Variable Mixed-Frequency VAR Model
Kenneth Beauchemin
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.


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Kenneth Beauchemin, A 14-Variable Mixed-Frequency VAR Model, Federal Reserve Bank of Minneapolis, Staff Report 493, 19 Dec 2013.
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Keywords: Bayesian Vector Autoregression; Forecasting
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