A flexible mixed-frequency vector autoregression with a steady-state prior
Year of publication: |
2020
|
---|---|
Authors: | Ankargren, Sebastian ; Unosson, Måns ; Yang, Yukai |
Published in: |
Journal of time series econometrics. - Berlin : De Gruyter, ISSN 1941-1928, ZDB-ID 2493596-7. - Vol. 12.2020, 2, p. 1-41
|
Subject: | VAR | state space models | nowcasting | macroeconometrics | stochastic volatilty | Theorie | Theory | VAR-Modell | VAR model | Prognoseverfahren | Forecasting model | Zustandsraummodell | State space model | Stochastischer Prozess | Stochastic process | Zeitreihenanalyse | Time series analysis | Makroökonometrie | Macroeconometrics | Bayes-Statistik | Bayesian inference |
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