In this study, we build and use a factor-augmented vector autoregressive (FAVAR) model to forecast inflation and output in Azerbaijan. The FAVAR model is particularly effective in data-rich environments, alleviating the curse of dimensionality of the standard VAR model and handling omitted...

In this study, we build and use a factor-augmented vector autoregressive (FAVAR) model to forecast inflation and output in Azerbaijan. The FAVAR model is particularly effective in data-rich environments, alleviating the curse of dimensionality of the standard VAR model and handling omitted...