WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia

Karen Poghosyan and Jan Magnus ()

International Econometric Review (IER), 2012, vol. 4, issue 1, 40-58

Abstract: Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known Bayesian model averaging (BMA) and the recently developed weighted average least squares (WALS). Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using quarterly data from 2000–2010, and we estimate and forecast real GDP growth and inflation.

Keywords: Dynamic Models; Factor Analysis; Model Averaging; Monte Carlo; Armenia (search for similar items in EconPapers)
JEL-codes: C11 C13 C52 C53 E52 E58 (search for similar items in EconPapers)
Date: 2012
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:erh:journl:v:4:y:2012:i:1:p:40-58

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