TY - JOUR
AU - Huber, Florian
AU - Koop, Gary
AU - Onorante, Luca
AU - Pfarrhofer, Michael
AU - Schreiner, Josef
PY - 2020
DA - December
TI - Nowcasting in a pandemic using non-parametric mixed frequency VARs
JO - Journal of Econometrics
DO - https://doi.org/10.1016/j.jeconom.2020.11.006
AB - 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 exibility 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.
PB - Elsevier
UR - https://pureportal.strath.ac.uk/en/publications/nowcasting-in-a-pandemic-using-non-parametric-mixed-frequency-var
KW - Coronavirus (COVID-19)
ER