Forecasting and Turning-Point Predictions in a Bayesian Panel VAR Model

38 Pages Posted: 1 Oct 2001

See all articles by Fabio Canova

Fabio Canova

BI Norwegian Business School

Matteo Ciccarelli

European Central Bank (ECB)

Multiple version iconThere are 2 versions of this paper

Date Written: September 2001

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.

Keywords: Forecasting, turning points, Bayesian methods, panel VAR, Markov chains, Monte Carlo methods

JEL Classification: C11, C15, E32, E37

Suggested Citation

Canova, Fabio and Ciccarelli, Matteo, Forecasting and Turning-Point Predictions in a Bayesian Panel VAR Model (September 2001). Available at SSRN: https://ssrn.com/abstract=285190

Fabio Canova (Contact Author)

BI Norwegian Business School ( email )

Nydalsveien 37
Oslo, 0442
Norway

Matteo Ciccarelli

European Central Bank (ECB) ( email )

Sonnemannstrasse 22
Frankfurt am Main, 60314
Germany

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