One-period joint forecasts of Polish inflation, unemployment and interest rate using Bayesian VEC-MSF models
Justyna Wróblewska () and
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Justyna Wróblewska: Cracow University of Economics
Anna Pajor: Cracow University of Economics
Central European Journal of Economic Modelling and Econometrics, 2019, vol. 11, issue 1, 23-45
The paper aims at comparing forecast ability of VAR/VEC models with a non-changing covariance matrix and two classes of Bayesian Vector Error Correction -- Stochastic Volatility (VEC-SV) models, which combine the VEC representation of a VAR structure with stochastic volatility, represented by the Multiplicative Stochastic Factor (MSF) process, the SBEKK form or the MSF-SBEKK specification. Based on macro-data coming from the Polish economy (time series of unemployment, inflation and interest rates) we evaluate predictive density functions employing of such measures as log predictive density score, continuous rank probability score, energy score, probability integral transform. Each of them takes account of different feature of the obtained predictive density functions.
Keywords: cointegration; stochastic volatility; Bayesian analysis; forecast verification (search for similar items in EconPapers)
JEL-codes: C11 C32 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:11:y:2019:i:1:p:23-45
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