Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors

Forecasting Economic Development of Ukraine based on BVAR models with different priors

Roman Matkovskyy

MPRA Paper from University Library of Munich, Germany

Abstract: In this article the theoretical analysis and practical application of Bayesian approach for vector autoregressive model parameters estimation with different priors have been peformed. The time series was from 2001Q1 to 2010Q4 and included the following variables: GDP, CPI, exchange rate, unemployment level, nominal long-term interest rate, and gas and oil prices. Comparative analysis of nineteen received models showed, that the better results were received in the frames of BVAR(2) model with Minnesota priors. Based on this model, the forecast and impulse responses on 24 quarter ahead time horizon were also done.

Keywords: Bayesian Vector Autoregressive model (BVAR); Gibbs sampler; MCMC; Natural Conjunction priors; informative priors; non-informative priors (search for similar items in EconPapers)
JEL-codes: C01 C11 C53 O11 (search for similar items in EconPapers)
Date: 2012-01, Revised 2012-11
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