2024-03-28T17:24:34Z
https://u-ryukyu.repo.nii.ac.jp/oai
oai:u-ryukyu.repo.nii.ac.jp:02012026
2023-08-03T05:47:31Z
1642838403123:1670479525511
1642838403551:1642838404033
Forecasting with Vector Autoregressions Using Bayesian Variable Selection Methods: Comparison of Direct and Iterated Methods
Sugita, Katsuhiro
open access
This paper compares multi-period forecasting performances by direct and iterated method using a Bayesian vector autoregressions with the stochastic search variable selection (SSVS) priors. The forecasting performances are evaluated using the artificially generated data with both nonstationary and stationary process. In theory direct forecasts are more efficient asymptotically and more robust to model misspecification than iterated forecasts, and iterated forecasts tend to bias but more efficient if the one-period ahead model is correctly specified. From the results of the Monte Carlo simulations, iterated forecasts tend to outperform direct forecasts, particularly with longer lag model and with longer forecast horizons. Implementing SSVS prior generally improves forecasting performance over unrestricted VAR model for either nonstationary or stationary data. As an illustration, US macroeconomic data sets with three variables are examined to compare iterated and direct forecasts using the unrestricted VAR model and the SSVS VAR model. Overall, iterated forecasts using model with the SSVS generally best outperform, suggesting that the SSVS restrictions on insignificant parameters alleviates over-parameterized problem of VAR in one-step ahead forecast and thus offers an appreciable improvement in forecast performance of iterated forecasts.
プレプリント
琉球大学国際地域創造学部経済学プログラム
Economics Program, Faculty of Global and Regional Studies, University of the Ryukyus
2019-05-14
eng
other
AO
http://hdl.handle.net/20.500.12000/44365
http://hdl.handle.net/20.500.12000/44365
https://u-ryukyu.repo.nii.ac.jp/records/2012026
琉球大学経済学ワーキングペーパーシリーズ
Ryukyu Economics Working Paper Series
REWP#02
1
18
https://u-ryukyu.repo.nii.ac.jp/record/2012026/files/WP2019-05_REWP02.pdf