# Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs

arXiv: https://arxiv.org/abs/2008.12706 · HTML: https://mlsanity.com/paper/2008.12706/

## Key facts

- Cited by 11 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 28 Aug 2020.

## Built on by (most cited first, 11 of 11)

- [Macroeconomic Forecasting with Large Language Models](https://mlsanity.com/paper/2407.00890/) (2024)
- [Can Machine Learning Catch the COVID-19 Recession?](https://mlsanity.com/paper/2103.01201/) (2021)
- [Bayesian Neural Networks for Macroeconomic Analysis](https://mlsanity.com/paper/2211.04752/) (2022)
- [From Reactive to Proactive Volatility Modeling with Hemisphere Neural Networks](https://mlsanity.com/paper/2311.16333/) (2023)
- [Non-linear dimension reduction in factor-augmented vector autoregressions](https://mlsanity.com/paper/2309.04821/) (2023)
- [Bayesian Nonlinear Regression using Sums of Simple Functions](https://mlsanity.com/paper/2312.01881/) (2023)
- [Can LLMs Take the Pulse of the Economy? A Real-Time Evaluation of LLM Nowcasts on Macroeconomic Indicators](https://mlsanity.com/paper/2608.30110/) (2026)
- [Performance of long short-term memory artificial neural networks in nowcasting during the COVID-19 crisis](https://mlsanity.com/paper/2203.11872/) (2022)
- [Generalized Autoregressive Score Trees and Forests](https://mlsanity.com/paper/2305.18991/) (2023)
- [Predictive Density Combination Using a Tree-Based Synthesis Function](https://mlsanity.com/paper/2311.12671/) (2023)
- [Nowcasting with Mixed Frequency Data Using Gaussian Processes](https://mlsanity.com/paper/2402.10574/) (2024)

## Abstract (arXiv)

This paper develops Bayesian econometric methods for posterior inference in non-parametric mixed frequency VARs using additive regression trees. We argue that regression tree models are ideally suited for macroeconomic nowcasting in the face of extreme observations, for instance those produced by the COVID-19 pandemic of 2020. This is due to their flexibility and ability to model outliers. In an application involving four major euro area countries, we find substantial improvements in nowcasting performance relative to a linear mixed frequency VAR.