러시아ㆍ유라시아
연구정보
A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia
아르메니아 국외연구자료 기타 Poghosyan Karen Journal of Central Banking Theory and Practice 발간일 : 2016-10-18 등록일 : 2016-10-18 원문링크
We evaluate the forecasting performance of four competing models for short-term macroeconomic forecasting: the traditional VAR, small scale Bayesian VAR, Factor Augmented VAR and Bayesian Factor Augmented VAR models. Using Armenian quarterly actual macroeconomic time series from 1996Q1 – 2014Q4, we estimate parameters of four competing models. Based on the out-of-sample recursive forecast evaluations and using root mean squared error (RMSE) criterion we conclude that small scale Bayesian VAR and Bayesian Factor Augmented VAR models are more suitable for short-term forecasting than traditional unrestricted VAR model.
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