Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach

Y-F. Huang

MPRA Paper from University Library of Munich, Germany

Abstract: This study compares several Bayesian vector autoregressive (VAR) models for forecasting price inflation and output growth in China. The results indicate that models with shrinkage and model selection priors, that restrict some VAR coefficients to be close to zero, perform better than models with Normal prior.

Keywords: BVAR; factor model; shrinkage priors (search for similar items in EconPapers)
JEL-codes: C11 C32 (search for similar items in EconPapers)
Date: 2012-10
New Economics Papers: this item is included in nep-fdg and nep-for
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:41933

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