A Time-Varying Bayesian Compressed Vector Autoregression for Macroeconomic Forecasting

A Time-Varying Bayesian Compressed Vector Autoregression for Macroeconomic Forecasting

This paper presents macroeconomic forecasting by using a time-varying Bayesian compressed vector autoregression approach. We apply a random compression by using projection matrix to randomly select predictive variables in vector autoregression (VAR), and then perform true out-of-sample forecast wher...

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Bibliographic Details
Main Authors: Nattapol Aunsri, Paponpat Taveeapiradeecharoen
Format: Article
Language:English
Published: IEEE 2020-01-01
Series:IEEE Access
Subjects:
Bayesian econometrics
macroeconomics
Bayesian model averaging
mathematical models
time-varying parameters
dynamic model averaging
Online Access:https://ieeexplore.ieee.org/document/9235324/

Internet

https://ieeexplore.ieee.org/document/9235324/

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