讨论文件

DP16760在大流行期间使用(标准)混合频率VAR进行实时预测

我们恢复了Schorfheide和Song(2015年，JBES)开发的混合频率矢量自回归(MF-VAR)，以实时生成美国在COVID-19大流行期间的宏观经济预测。该模型结合了在季度和月两个频率下观察到的11个时间序列。我们故意没有根据COVID-19疫情修改模型规范，只是从估计样本中排除了危机观察结果。我们将MF-VAR预测与专业预测人员调查(SPF)的预测中值进行比较。虽然MF-VAR在2020年第二季度表现不佳，但随后的预测与SPF预测一致。我们表明，排除几个月的极端观测值是处理VAR估计的一种有前途的方法，可以替代复杂的异常值建模。

£6.00
引用

Schorfheide, F和D Song(编)(2021)，“流行病期间DP16760用(标准)混合频率VAR进行实时预测”，CEPR出版社讨论文件第16760号。https://cepr.org/publications/dp16760

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