一个14变量混合频率VAR模型

Staff Report Pub Date : 2013-12-19 DOI:10.21034/sr.493

Kenneth R. Beauchemin

{"title":"一个14变量混合频率VAR模型","authors":"Kenneth R. Beauchemin","doi":"10.21034/sr.493","DOIUrl":null,"url":null,"abstract":"This paper describes recent modifications to the mixed-frequency model vector autoregression (MF-VAR) constructed by Schorfheide and Song (2012). The changes to the model are restricted solely to the set of variables included in the model; all other aspects of the model remain unchanged. Forecast evaluations are conducted to gauge the accuracy of the revised model to standard benchmarks and the original model.","PeriodicalId":164493,"journal":{"name":"Staff Report","volume":"41 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2013-12-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"A 14-Variable Mixed-Frequency VAR Model ∗\",\"authors\":\"Kenneth R. Beauchemin\",\"doi\":\"10.21034/sr.493\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"This paper describes recent modifications to the mixed-frequency model vector autoregression (MF-VAR) constructed by Schorfheide and Song (2012). The changes to the model are restricted solely to the set of variables included in the model; all other aspects of the model remain unchanged. Forecast evaluations are conducted to gauge the accuracy of the revised model to standard benchmarks and the original model.\",\"PeriodicalId\":164493,\"journal\":{\"name\":\"Staff Report\",\"volume\":\"41 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2013-12-19\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Staff Report\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.21034/sr.493\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Staff Report","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.21034/sr.493","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}

引用次数: 2

摘要

本文描述了最近对Schorfheide和Song(2012)构建的混合频率模型向量自回归(MF-VAR)的修改。对模型的更改仅限于模型中包含的一组变量;该模型的所有其他方面保持不变。进行预测评估，以衡量修订后的模型对标准基准和原始模型的准确性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

A 14-Variable Mixed-Frequency VAR Model ∗

This paper describes recent modifications to the mixed-frequency model vector autoregression (MF-VAR) constructed by Schorfheide and Song (2012). The changes to the model are restricted solely to the set of variables included in the model; all other aspects of the model remain unchanged. Forecast evaluations are conducted to gauge the accuracy of the revised model to standard benchmarks and the original model.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Staff Report

自引率

0.00%

发文量