• norsk
    • English
  • English 
    • norsk
    • English
  • Login
View Item 
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
  •   Home
  • Handelshøyskolen BI
  • Publikasjoner fra CRIStin - BI
  • View Item
JavaScript is disabled for your browser. Some features of this site may not work without it.

Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting

Aastveit, Knut Are; McAlinn, Kenichiro; Nakajima, Jouchi; West, Mike
Working paper
Submitted version
Thumbnail
View/Open
working_paper_2_19.pdf (9.442Mb)
URI
http://hdl.handle.net/11250/2634167
Date
2019
Metadata
Show full item record
Collections
  • Other faculty works [8]
  • Publikasjoner fra CRIStin - BI [644]
Abstract
We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed application in the topical and challenging context of multi-step macroeconomic forecasting in a monetary policy setting. BPS evaluates–sequentially and adaptively over time– varying forecast biases and facets of miscalibration of individual forecast densities for multiple time series, and– critically– their time-varying interdependencies. We define BPS methodology for a new class of dynamic multivariate latent factor models implied by BPS theory. Structured dynamic latent factor BPS is here motivated by the application context– sequential forecasting of multiple US macroeconomic time series with forecasts generated from several traditional econometric time series models. The case study highlights the potential of BPS to improve of forecasts of multiple series at multiple forecast horizons, and its use in learning dynamic relationships among forecasting models or agents.
Description
Accepted and published in Journal of the American Statistical Association
Publisher
Norges Bank

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit
 

 

Browse

ArchiveCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsDocument TypesJournalsThis CollectionBy Issue DateAuthorsTitlesSubjectsDocument TypesJournals

My Account

Login

Statistics

View Usage Statistics

Contact Us | Send Feedback

Privacy policy
DSpace software copyright © 2002-2019  DuraSpace

Service from  Unit