Forecasting Russian Macroeconomic Indicators with BVAR
نویسندگان
چکیده
منابع مشابه
The Use of Varma Models in Forecasting Macroeconomic Indicators
Although the scalar components methodology used to build VARMA models is rather difficult, the VAR models application being easier in practice, the forecasts based on the first models have a higher degree of accuracy. This statement is demonstrated for variables like the 3-month Treasury bill rate and the spread between the 10 year government bond yield, where the quarterly data are from the U....
متن کاملModeling and Forecasting Iranian Inflation with Time Varying BVAR Models
This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allo...
متن کاملmodeling and forecasting iranian inflation with time varying bvar models
this paper investigates the forecasting performance of different time-varying bvar models for iranian inflation. forecast accuracy of a bvar model with litterman’s prior compared with a time-varying bvar model (a version introduced by doan et al., 1984); and a modified time-varying bvar model, where the autoregressive coefficients are held constant and only the deterministic components are allo...
متن کاملMacroeconomic Forecasting Using Diffusion Indexes
This article studies forecasting a macroeconomic time series variable using a large number of predictors. The predictors are summarized using a small number of indexes constructed by principal component analysis. An approximate dynamic factor model serves as the statistical framework for the estimation of the indexes and construction of the forecasts. The method is used to construct 6-, 12-, an...
متن کاملThe State of Macroeconomic Forecasting
Macroeconomic forecasts are used extensively in industry and government The historical accuracy of US and UK forecasts are examined in the light of different approaches to evaluating macro forecasts. Issues discussed include the comparative accuracy of macroeconometric models compared to their time series alternatives, whether the forecasting record has improved over time, the rationality of ma...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2015
ISSN: 1556-5068
DOI: 10.2139/ssrn.2688523