Conditional FAVAR and scenario analysis for a large data: case of Tunisia
Hajer Ben Romdhane and
Nahed Ben Tanfous
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Hajer Ben Romdhane: Central Bank of Tunisia
Nahed Ben Tanfous: Central Bank of Tunisia
No 15-2017, IHEID Working Papers from Economics Section, The Graduate Institute of International Studies
The aim of this paper is to compute the conditional forecasts of a set of variables of interest on future paths of some variables in dynamic systems. We build a large dynamic factor models for a quarterly data set of 30 macroeconomic and financial indicators. Results of forecasting suggest that conditional FAVAR models which incorporate more economic information outperform the unconditional FAVAR in terms of the forecast errors.
Keywords: FAVAR; Conditional FAVAR; Conditional Forecast. (search for similar items in EconPapers)
Pages: 24 pages
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Persistent link: https://EconPapers.repec.org/RePEc:gii:giihei:heidwp15-2017
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