BdF paper uses professional forecasts to improve BVAR model
Authors use “entropic tilting and soft conditioning” to incorporate survey data into model
A working paper published by the Banque de France looks at ways to improve statistical modelling of the eurozone by using the forecasts of professional market-watchers.
In Bayesian VAR forecasts, survey information and structural change in the auro area, Gergely Ganics and Florens Odendahl use data from the European Central Bank’s survey of professional forecasters. They use “entropic tilting and soft conditioning” to incorporate this information into a Bayesian vector autoregression, or BVAR
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