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Inflation forecasting for aggregates of the EU-7 and EU-14 with Bayesian VAR models

Article Abstract:

Key economic aggregates of the EU-7 and the EU-14 are analyzed using the Bayesian Vector Auto-Regressive (BVAR) model as a forecasting tool. Using absolute forecasting performance and comparing ex-post BVAR forecasts with OECD forecasts, the BVAR model proves useful as a forecasting tool in addition to structural macroeconomic models. It is revealed that forecast errors are strongly influenced by pooling when aggregate models are compared to single-country models.

Author: Bikker, J. A.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1998
Economic Views, Economic aspects, Economic policy, European Union

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Causality and forecasting in incomplete systems

Article Abstract:

A bivariate VAR with incomplete variable can be used in the analysis of causality inference and forecasting. It was shown that causality inference and forecasting become invariant to selection of model provided that the omitted variable does not have any effect on other variables present in the bivariate system. On the other hand, it was revealed that factors creating an invariant causality inference does not also create an invariant forecasting.

Author: Pittis, Nikitas, Caporale, Guglielmo Maria
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 1997
Econometrics & Model Building, Econometrics, Estimation theory, Business models

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Alternative regime switching models for forecasting inflation

Article Abstract:

A study of three models which can be used to capture shifts in inflation is presented with emphasis on their individual performance. Markov switching models, state space models with heavy-tailed errors and with compound error distributions are evaluated.

Author: Bidarkota, Prasad V.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Forecasting
Subject: Mathematics
ISSN: 0277-6693
Year: 2001

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Subjects list: Models, Forecasts and trends, Inflation (Finance), Economic forecasting, Inflation (Economics), Business forecasting
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