Paper #443

Título:

Forecasting and turning point predictions in a Bayesian panel VAR model

Autores:

Fabio Canova y Matteo Ciccarelli

Fecha:

Octubre 1999

Resumen:

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.

Palabras clave:

Forecasting, turning points, bayesian methods, panel VAR, Markov chains Monte Carlo methods

Códigos JEL:

C11, C15, E32, E37

Área de investigación:

Macroeconomía y Economía Internacional

Publicado en:

Journal of Econometrics, 120(2), 2004, 327-359

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