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We develop methods of allowing for data uncertainty when forecasting with BVAR models with stochastic volatility. First, the BVAR forecasting model is estimated on real\u2010time vintages. Second, the BVAR model is jointly estimated with a model of data revisions such that forecasts are conditioned on estimates of the \u2018true\u2019 values. We find that this second method generally improves upon conventional practice for density forecasting, especially for the United States.<\/jats:p>","DOI":"10.1002\/jae.2944","type":"journal-article","created":{"date-parts":[[2022,11,5]],"date-time":"2022-11-05T13:28:25Z","timestamp":1667654905000},"page":"164-185","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Density forecasting with Bayesian Vector Autoregressive models under macroeconomic data uncertainty"],"prefix":"10.1002","volume":"38","author":[{"ORCID":"https:\/\/orcid.org\/0000-0001-6329-1341","authenticated-orcid":false,"given":"Michael P.","family":"Clements","sequence":"first","affiliation":[{"name":"ICMA Centre, Henley Business School University of Reading  Reading UK"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-3263-9450","authenticated-orcid":false,"given":"Ana Beatriz","family":"Galv\u00e3o","sequence":"additional","affiliation":[{"name":"Warwick Business School University of Warwick  Warwick UK"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2022,12,22]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2021.11.010"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2315"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.04.024"},{"key":"e_1_2_8_5_1","doi-asserted-by":"crossref","unstructured":"Carriero A. 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J.","year":"2014","journal-title":"Survey of Current Business"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1146\/annurev-statistics-062713-085831"},{"key":"e_1_2_8_20_1","volume-title":"Introduction to Bayesian econometrics","author":"Greenberg E.","year":"2013"},{"key":"e_1_2_8_21_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.04.010"},{"key":"e_1_2_8_22_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00050"},{"issue":"2","key":"e_1_2_8_23_1","first-page":"181","article-title":"VAR estimation and forecasting when data are subject to revision","volume":"30","author":"Kishor N. K.","year":"2012","journal-title":"Journal of Business and Economic Statistics"},{"key":"e_1_2_8_24_1","doi-asserted-by":"publisher","DOI":"10.1111\/jmcb.12116"},{"key":"e_1_2_8_25_1","doi-asserted-by":"publisher","DOI":"10.1162\/003465303322369768"},{"key":"e_1_2_8_26_1","doi-asserted-by":"crossref","unstructured":"Mankiw N. G. &Shapiro M. 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