Busca
Filtragem por:
Palavra-chave
Bayesian Vector Autoregression
Remover Palavra-chave: Bayesian Vector Autoregression
1 para 1 de 1
Resultados da Busca
-
Creator: Beauchemin, Kenneth Ronald Series: Staff report (Federal Reserve Bank of Minneapolis. Research Department) Number: 493 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.
Palavra-chave: Forecasting and Bayesian Vector Autoregression Sujeito: C53 - Forecasting Models; Simulation Methods, C11 - Bayesian Analysis: General, and C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models