COHERENT FORECASTING OF MORTALITY RATES: A SPARSE VECTOR-AUTOREGRESSION APPROACH

Forecasting State Tax Revenue: A Bayesian Vector Autoregression Approach By

This paper compares alternative time-series models to forecast state tax revenues. Forecast accuracy is compared to a benchmark random walk forecast. Quarterly data for California is used to forecast total tax revenue along with its three largest components, sales, income, and corporate tax revenue. For oneand four-quarter-ahead forecasts from 2004 to 2009, Bayesian vector autoregressions gener...

A Time-Varying Parameter Vector Autoregression Model for Forecasting Emerging Market Exchange Rates

In this study, a vector autoregression (VAR) model with time-varying parameters (TVP) to predict the daily Indian rupee (INR)/US dollar (USD) exchange rates for the Indian economy is developed. The method is based on characterization of the TVP as an optimal control problem. The methodology is a blend of the flexible least squares and Kalman filter techniques. The out-of-sample forecasting perf...

Oil dependence, institutional quality and economic growth: A panel vector autoregression approach

Resources are the foundation of economic growth. With speedy economic and population growth, economic growth is facing a scarcity of resources worldwide. Resource-economy co-ordination has become every government’s main focus in reaching strategic development goals in countries that are on the path of rapid economic development. Sustainable economic development in a country requires resources a...

Lecture 6 : Vector Autoregression ∗

Forecasting Exchange Rates: a Robust Regression Approach

The least squares estimation method as well as other ordinary estimation method for regression models can be severely affected by a small number of outliers, thus providing poor out-ofsample forecasts. This paper suggests a robust regression approach, based on the S-estimation method, to construct forecasting models that are less sensitive to data contamination by outliers. A robust linear auto...