TY - JOUR ID - 3566 TI - Modeling and Forecasting Iranian Inflation with Time Varying BVAR Models JO - پژوهش‌های اقتصادی ایران JA - IJER LA - fa SN - 1726-0728 AU - حیدری, حسن AU - پروین, سهیلا AD - عضو هیات علمی گروه علوم اقتصادی , دانشکده اقتصاد و مدیریت , دانشگاه ارومیه AD - دانشیار دانشگاه علامه طباطبائی Y1 - 2008 PY - 2008 VL - 12 IS - 36 SP - 59 EP - 84 KW - Inflation KW - BVAR Model KW - Iranian Economy DO - N2 - This paper investigates the forecasting performance of different time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allowed to vary over time. Application using quarterly data of the Iranian economy from 1981:Q2 to 2006:Q1 shows that the performance of different specifications of time-varying BVAR models for forecasting inflation depends on the number of lags, hyper parameter that controls time variation, and forecast horizons. Our results, however, show that the modified time-varying BVAR model performs much better than other models regardless of the factors above. UR - https://ijer.atu.ac.ir/article_3566.html L1 - https://ijer.atu.ac.ir/article_3566_f97ce9d290a2622b56760260296c3f7c.pdf ER -