Forecasting with generalized Bayesian vector autoregressions

Article Abstract:

An examination of theeffects of using different distributions to parameterize the prior beliefs in aBayesian analysis of vector autoregressions is conducted. The evaluation showedthat several of the methods perform better than the frequently used Minnesota prior of Litterman. There was no instance when the Minnesota prior proved to beable to provide better forecasts than those of more general prior distributions.

Models, Business forecasting, Autoregression (Statistics)

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Testing and forecasting the degree integration in the US inflation rate

Article Abstract:

A mathematical model for forecasting the inflation rate in US is presented. The model integrates the factors affecting the inflation.

United States, Mathematical models

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Finding good predictors for inflation: a Bayesian model averaging approach

Article Abstract:

The usage of Bayesian model averaging approach for forecasting inflation is discussed and analyzed.

Sweden

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