Multivariate Bayesian Predictive Synthesis in Macroeconomic Forecasting

• 成果类型: Article
• 署名作者: McAlinn, Kenichiro; Aastveit, Knut Are; Nakajima, Jouchi; West, Mike
• 署名单位: Pennsylvania Commonwealth System of Higher Education (PCSHE); Temple University; Duke University; Norges Bank; BI Norwegian Business School; Bank of Japan
• 刊物名称: JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION
• ISSN/ISSBN: 0162-1459
• DOI: 10.1080/01621459.2019.1660171
• 发表日期: 2020
• 页码: 1092-1110
• 关键词: vector autoregressions; density combination; monetary-policy; time; aggregation; vars

摘要

We present new methodology and a case study in use of a class of Bayesian predictive synthesis (BPS) models for multivariate time series forecasting. This extends the foundational BPS framework to the multivariate setting, with detailed application in the topical and challenging context of multistep macroeconomic forecasting in a monetary policy setting. BPS evaluates?sequentially and adaptively over time?varying forecast biases and facets of miscalibration of individual forecast densities for multiple time series, and?critically?their time-varying inter-dependencies. We define BPS methodology for a new class of dynamic multivariate latent factor models implied by BPS theory. Structured dynamic latent factor BPS is here motivated by the application context?sequential forecasting of multiple U.S. macroeconomic time series with forecasts generated from several traditional econometric time series models. The case study highlights the potential of BPS to improve of forecasts of multiple series at multiple forecast horizons, and its use in learning dynamic relationships among forecasting models or agents. for this article, including a standardized description of the materials available for reproducing the work, are available as an online supplement.