Department of Economics and Business - Universitat Pompeu Fabra

Title:: Forecasting and turning point predictions in a Bayesian panel VAR model
Authors:: Fabio Canova and Matteo Ciccarelli
Date:: October 1999
Abstract:: We provide methods for forecasting variables and predicting turning points in panel Bayesian VARs. We specify a flexible model which accounts for both interdependencies in the cross section and time variations in the parameters. Posterior distributions for the parameters are obtained for a particular type of diffuse, for Minnesota-type and for hierarchical 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.
Keywords:: Forecasting, turning points, bayesian methods, panel VAR, Markov chains Monte Carlo methods
JEL codes:: C11, C15, E32, E37
Area of Research:: Macroeconomics and International Economics
Published in:: Journal of Econometrics, 120(2), 2004, 327-359

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