Thursday, June 25, 2020

Pandemic Economic Forecasting with Mixed-Frequency Data

Nice Schorfheide-Song (SS) Bayesian real-time pandemic economic forecasting with mixed-frequency data here.  They simulate exact posteriors.  ADS nowcasting is also based on exact mixed-frequency estimation (MLE).  So both SS and ADS get things right in principle (SS Bayesian forecasting, ADS frequentist nowcasting), and both are easily implemented in practice.  That is, both are intellectually pure, yet practically relevant.

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