Structural forecast analysis

Clicks: 32
ID: 329794
2026
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Abstract
Abstract This paper shows how the structural representation of a vector autoregressive model can support forecast analysis. We offer a unified framework that formalizes how the structural form of the model can help form a narrative for two key statistics in real-time VAR forecasting: the forecast errors at the outturn of the data, and the consequent revisions of the forecast. We conduct an exercise on the UK, focusing on the inflation surge that started in 2022. We show that revisions to the inflation forecast were driven not only by contractionary supply-side shocks, but also by a mix of expansionary demand-side shocks, with an important role played by revised past shocks. However, we find that the role of demand shocks is subsequently revised downwards as new data vintages become available.
Reference Key
openalex_W7214378579 Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors Davide Brignone, Michele Piffer
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Journal econometrics journal
Year 2026
DOI
10.1093/ectj/utag032
URL
https://doi.org/10.1093/ectj/utag032
Keywords Keywords not found

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