Nowcasting with large Bayesian vector autoregressions
نویسندگان
چکیده
Monitoring economic conditions in real time, or nowcasting, and Big Data analytics share some challenges, sometimes called the three “Vs”. Indeed, nowcasting is characterized by use of a large number time series (Volume), complexity data covering various sectors economy, with different frequencies precision asynchronous release dates (Variety), need to incorporate new information continuously timely manner (Velocity). In this paper, we explore alternative routes Bayesian Vector Autoregressive (BVAR) models find that they can effectively handle Vs producing, accurate probabilistic predictions US activity meaningful narrative means scenario analysis.
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2022
ISSN: ['1872-6895', '0304-4076']
DOI: https://doi.org/10.1016/j.jeconom.2021.04.012