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Title:
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Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model
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Author:
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Canova, Fabio; Ciccarelli, Matteo
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Other authors:
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Universitat Pompeu Fabra. Departament d'Economia i Empresa |
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Abstract:
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We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical priors. Formulas for multistep, multiunit point and average forecasts are provided. An application to the problem of forecasting the growth rate of output and of predicting turning points in the G-7 illustrates the approach. A comparison with alternative forecasting methods is also provided. |
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Publication date:
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2005-09-15 |
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Subject(s):
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Forecasting, turning points, bayesian methods, panel VAR, Markov chains Monte Carlo methods |
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Rights:
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Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
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Document type:
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Working Paper |
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