Alternative models for forecasting the key macroeconomic variables in Armenia (in Russian)

Karen Poghosyan

Quantile, 2015, issue 13, 25-39

Abstract: We evaluate the forecasting performance of three competing models for short-term macroeconomic forecasting: the traditional unrestricted VAR, Bayesian VAR, and Factor Augmented VAR. Using quarterly Armenian macroeconomic variables from 1996 to 2014, we estimate parameters of the three models. Based on the out-of-sample root mean squared error criterion we conclude on the most relevant model.

Keywords: vector autoregression; principal components; Bayesian estimation; macroeconomic indicators; Armenia (search for similar items in EconPapers)
JEL-codes: C11 C13 C52 C53 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://quantile.ru/13/13-KP.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2015:i:13:p:25-39

Access Statistics for this article

Quantile is currently edited by Stanislav Anatolyev

More articles in Quantile from Quantile
Bibliographic data for series maintained by Stanislav Anatolyev ().