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Keywords = BVAR models
Number of Articles: 3
Performance of Alternative BVAR Models for Forecasting Iranian Macroeconomic Variables: An Application of Gibbs Sampling
Volume 20, Issue 62 , April 2015, , Pages 57-79
Abstract
Low and stable inflation with sustainable growth is the first objective of any monetary authority. To achieve this prime goal, reliable forecast of macroeconomic variables play an important role. This paper investigates the forecasting performance of BVAR models with different priors for Iranian economy. ... Read MoreAn Evaluation of Alternative BVAR Models for Forecasting Iranian Inflation
Volume 17, Issue 50 , April 2012, , Pages 65-81
Abstract
This paper investigates the use of different priors to improve the inflation forecasting performance of BVAR models with Litterman’s prior. A Quasi-Bayesian method, with several different priors, is applied to a VAR model of the Iranian economy from 1981:Q2 to 2007:Q1. A novel feature with this ... Read MoreAn Alternative VAR Model for Forecasting Iranian Inflation: An Application of Bewley Transformation
Volume 16, Issue 46 , April 2011, , Pages 77-96