Nowcasting in a pandemic using non-parametric mixed frequency VARs
疫情期间利用非参数混频 VAR 进行即时预测AI 解读 ↓
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AI 根据所提供的论文材料归类:摘要明确研究宏观即时预测,方法为非参数混频 VAR,并针对疫情极端观测进行应用比较。
疫情期间利用非参数混频 VAR 进行即时预测AI 解读 ↓
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This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020. This is due to their flexibility and ability to model outliers. In an application involving four major euro area countries, we find substantial improvements in nowcasting performance relative to a linear mixed frequency VAR.
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Abstract We propose a Bayesian approach to Local Projections (LPs) that optimally addresses the empirical bias-variance trade-off intrinsic in the choice between direct and iterative methods. Bayesian Local Projections (BLPs) regularize LP regressions via informative priors and estimate impulse response functions that capture the properties of the data more accurately than iterative VARs. BLPs preserve the flexibility of LPs while retaining a degree of estimation uncertainty…