Alternative models for forecasting the key macroeconomic variables in Armenia (in Russian)

We evaluate the forecasting performance of three competing models for short-term macroeconomic forecasting: the traditional unrestricted VAR, Bayesian VAR, and Factor Augmented VAR. Using quarterly Armenian macroeconomic variables from 1996 to 2014, we estimate parameters of the three models. Based on the out-of-sample root mean squared error criterion we conclude on the most relevant model.

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Year of publication:	2015
Authors:	Poghosyan, Karen
Published in:	Quantile. - Quantile. - 2015, 13, p. 25-39
Publisher:	Quantile
Subject:	vector autoregression \| principal components \| Bayesian estimation \| macroeconomic indicators \| Armenia

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Extent:	application/pdf
Type of publication:	Article
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011276295