期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 29, 期 3, 页码 327-341出版社
AMER STATISTICAL ASSOC
DOI: 10.1198/jbes.2010.09248
关键词
Bayesian methods; Steady-state prior
Central banks and other forecasters are increasingly interested in various aspects of density forecasts. However, recent sharp changes in macroeconomic volatility, including the Great Moderation and the more recent sharp rise in volatility associated with increased variation in energy prices and the deep global recession-pose significant challenges to density forecasting. Accordingly, this paper examines, with real-time data, density forecasts of U. S. GDP growth, unemployment, inflation, and the federal funds rate from Bayesian vector autoregression (BVAR) models with stochastic volatility. The results indicate that adding stochastic volatility to BVARs materially improves the real-time accuracy of density forecasts. This article has supplementary material online.
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