Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər

Modeling and forecasting of macroeconomic variables of the national economy: problems and practical issues

Mehdi Mehdiyev, Vugar Ahmadov, Salman Huseynov and Fuad Mammadov ()

MPRA Paper from University Library of Munich, Germany

Abstract: In this paper, we study main problems and practical issues of modeling and forecasting of macroeconomic variables in the national economy. For that, we employ astructural VAR models and estimate interdependencies among different economic variables. Initial data analysis of macroeconomic variables incorporated into the model show that there exist certain anomalies and high volatility in their dynamics. Only that fact alone can be considered among important factors which strongly contribute to weak interdependencies among variables. It is not surprising that researchers using different macroeconomic variables on the national economy cannot find statistically significant relations among them. Here, we use different statistical methods to reduce volatilities and anomalies present in their dynamics. We estimate VAR models with different number of variables and employ two forecasting methodologies (Waggoner and Zha (1999), Banbura, Giannone and Lenza (2014)) to construct our conditional and unconditional forecasts on several variables. In the end, we demonstrate practical problems of modeling and forecasting of macroeconomic variables and provide some policy recommendations to improve quality of statistical data on the national economy.

Keywords: Forecasting; Time series methods; Bayesian methods (search for similar items in EconPapers)
JEL-codes: C11 C13 C32 C53 (search for similar items in EconPapers)
Date: 2015-03-25
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/63517/1/MPRA_paper_63517.pdf original version (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:pra:mprapa:63517

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().