Florian Huber, Gary Koop, Luca Onorante, Michael Pfarrhofer, Josef Schreiner
arXiv 28 Aug 2020 · Econometrics · publishedJournal of Econometrics (2020) · 81 citations (OpenAlex)
arXiv:2008.12706 · PDF · DOI · OpenAlex · Extracted main text
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.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Chipman HA, George EI, and McCulloch RE (2010) BART: Bayesian additive regression trees | 0.874 | 8 | 2 | 100% |
| 2 | Crawford L, Wood K, Zhou X, and Mukherjee S (2018) Bayesian Approximate Kernel Regression With Variable Selection | 0.737 | 3 | 2 | 100% |
| 3 | Crawford L, Flaxman S, Runcie D, and West M (2019) Variable prioritization in nonlinear black box methods: A genetic association case study | 0.737 | 3 | 2 | 100% |
| 4 | Schorfheide F, and Song D (2015) Real-time forecasting with a mixed-frequency VAR | 0.737 | 3 | 2 | 100% |
| 5 | Carriero A, Clark TE, and Marcellino M (2019) Large Bayesian vector autoregressions with stochastic volatility and non-conjugate priors | 0.511 | 2 | 2 | 50% |
| 6 | Chipman HA, George EI, and McCulloch RE (1998) Bayesian CART Model Search | 0.511 | 2 | 1 | 100% |
| 7 | Huber F, and Rossini L (2020) Inference in Bayesian additive vector autoregressive tree models | 0.511 | 2 | 1 | 100% |
| 8 | Lenza M, and Primiceri G (2020) How to estimate a VAR after March 2020 | 0.511 | 2 | 1 | 100% |
| 9 | Mariano R, and Murasawa Y (2003) A new coincident index of business cycles based on monthly and quarterly series | 0.511 | 2 | 1 | 100% |
| 10 | Schorfheide F, and Song D (2020) Real-time forecasting with a (standard) mixed-frequency VAR during a pandemic | 0.511 | 2 | 1 | 100% |
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arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.