Sökning: "Bayesian factor-augmented VAR"

Hittade 1 uppsats innehållade orden Bayesian factor-augmented VAR.

  1. 1. Can Forecasting Performance of the Bayesian Factor-Augmented VAR be Improved by Considering the Steady-State? An application to Swedish inflation

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Andreas Lindvall; [2017]
    Nyckelord :Bayesian factor-augmented VAR; Steady-state; Inflation; Out-of-sample forecasting precision; Business and Economics;

    Sammanfattning : This paper investigates whether the forecasting performance of Bayesian factor-augmented VAR (BFAVAR) models can be improved by incorporating an informative prior on the steady-state of the time series in the system. The BFAVAR model is compared to the extended steady-state BFAVAR in an application to forecasting Swedish inflation, making use of data from 1996 to 2016. LÄS MER