; ; ; "ActiveFedora::Aggregation::ListSource" . a , ; "Real-Time Forecasting with a Mixed-Frequency VAR"; ; "batchuser@example.com"; "Song, Dongho", "Schorfheide, Frank"; "Federal Reserve Bank of Minneapolis"; "Vector autoregressions", "Bayesian methods", "Real-time data", "Macroeconomic forecasting"; "C32 - Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models", "C53 - Forecasting Models; Simulation Methods", "C11 - Bayesian Analysis: General"; "This paper develops a vector autoregression (VAR) for macroeconomic time series which are observed at mixed frequencies – quarterly and monthly. The mixed-frequency VAR is cast in state-space form and estimated with Bayesian methods under a Minnesota-style prior. Using a real-time data set, we generate and evaluate forecasts from the mixed-frequency VAR and compare them to forecasts from a VAR that is estimated based on data time-aggregated to quarterly frequency. We document how information that becomes available within the quarter improves the forecasts in real time. "^^; "2012-09-04"; "2019-05-20T18:44:42.408890487+00:00"^^; "https://doi.org/10.21034/wp.701"; ; "https://creativecommons.org/licenses/by-nc/4.0/"; "2019-11-18T22:30:53.75929538+00:00"^^; "https://creativecommons.org/licenses/by-nc/4.0/"; "Research Paper"; "742", "705"; "Working paper (Federal Reserve Bank of Minneapolis. Research Department)"; "701"; "Macroeconomic forecasting", "Bayesian methods", "Vector autoregressions", "Real-time data"; ; ; ; ; "Federal Reserve Bank of Minneapolis. Research Department"; ; "Publication" . ; .