文章基本信息

标题：Nowcasting in a pandemic using non-parametric mixed frequency VARs
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作者：Florian Huber ; Gary Koop ; Luca Onorante 等
期刊名称：Euro Area Balance of Payments and International Investment Position Statistics
印刷版ISSN：1830-3420
电子版ISSN：1830-3439
出版年度：2021
卷号：2021
语种：English
出版社：European Central Bank
摘要：This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020. This is due to their flexibility and ability to model outliers. In an application involving four major euro area countries, we find substantial improvements in nowcasting performance relative to a linear mixed frequency VAR.
关键词：Regression tree models;Bayesian;macroeconomic forecasting;vector;autoregressions