ECB paper looks at Bayesian nowcasting
BVAR models have several advantages over Dynamic Factor Models, researchers say
A working paper published by the European Central Bank examines using Bayesian Vector Autoregressive, or BVAR, models instead of Dynamic Factor Models, or DFMs.
In Nowcasting with large Bayesian vector autoregressions, Jacopo Cimadomo et al. look at what they call the three big challenges, or three Vs, of analysing big data. These, they say are: the large volume of data series; the variety in their precision and frequency; and the need to incorporate new information into models minutes after it
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