A Mixed Frequency Steady-State Bayesian Vector Autoregression: Forecasting the Macroeconomy
This thesis suggests a Bayesian vector autoregressive (VAR) model which allows for explicit parametrization of the unconditional mean for data measured at different frequencies, without the need to aggregate data to the lowest common frequency. Using a normal prior for the steady-state and a normal-...
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| Format: | Others |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2016
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-297406 |