Flexible Bayesian VARs Improve Real-Time Forecasting of Australian Macroeconomy.
The article examines different models to predict the Australian economy in real-time. By using various flexible structures, the models can make more accurate forecasts than standard ones. Small VAR models are better at predicting GDP, while AR models are more accurate for inflation. Large VAR models perform best for forecasting the unemployment rate. The accuracy of these models changes slightly depending on the vintage of data used, emphasizing the importance of using real-time data for forecasting.