survey expectations data in forecasting. …

notably with the pandemic. In a VAR, allowing the errors to have a distribution with fatter tails than the Gaussian one equips … the model to better deal with the COVID-19 shock. A standard Gaussian VAR can still be used for producing conditional …

causal VAR with Brazilian typical data and compare its forecasts to a regular causal VAR, using the same data found to be non … fiscal policy, as the non causal VAR has shown substantially better predictive ability than the regular causal VAR for that …

This paper presents a MIDAS type mixed frequency VAR forecasting model. First, we propose a general and compact mixed … pseudo out-of-sample forecasting exercise with US real-time data yields that the mixed frequency VAR substantially improves … frequency VAR framework using a stacked vector approach. Second, we integrate the mixed frequency VAR with a MIDAS type Almon …