Citation

Discussion Paper Details

Please find the details for DP2961 in an easy to copy and paste format below:

Full Details   |   Bibliographic Reference

Full Details

Title: Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model

Author(s): Fabio Canova and Matteo Ciccarelli

Publication Date: September 2001

Keyword(s): bayesian methods panel VAR markov chains monte carlo methods, forecasting and turning points

Programme Area(s): International Macroeconomics

Abstract: We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model that accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for hierarchical and for Minnesota-type 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.

For full details and related downloads, please visit: https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2961

Bibliographic Reference

Canova, F and Ciccarelli, M. 2001. 'Forecasting and Turning Point Predictions in a Bayesian Panel VAR Model'. London, Centre for Economic Policy Research. https://cepr.org/active/publications/discussion_papers/dp.php?dpno=2961