Alternative Models for Forecasting Macroeconomic Indicators in Kazakhstan

Saken Pirmakhanov
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Saken Pirmakhanov: Dongbei University of Finance and Economics, Astana, Kazakhstan

International Journal of Applied Management Sciences and Engineering (IJAMSE), 2017, vol. 4, issue 1, 1-15

Abstract: This paper indicates special aspects of using vector auto-regression models to forecast rates of basic macroeconomic indicators in short term. In particular, traditional vector auto-regression model, Bayesian vector auto-regression model and factor augmented vector auto-regression model are shown. For parameter estimation of these models the author uses time series of Kazakhstani macroeconomic indicators between 1996 and 2015 quarterly. In virtue of mean-root-square error prediction the conclusion of optimal model is going to be chosen.

Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:igg:jamse0:v:4:y:2017:i:1:p:1-15

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