Aye, Goodness C.; Dua, Pami; Gupta, Rangan - Department of Economics, Faculty of Economic and … - 2013
This paper evaluates the performance of 11 vector autoregressive models in forecasting 15 macroeconomic variables for the Indian economy over the 2007:01 to 2011:10 out-of-sample period. We consider 3 classical VARs, 4 Bayesian VARs and 4 Bayesian Factor Augmented VARs. Comparing the performance...