Conditional FAVAR and scenario analysis for a large data : case of Tunisia

Hajer Ben Romdhane (Central Bank of Tunisia), Nahed Ben Tanfous (Central Bank of Tunisia)

The aim of this paper is to compute the conditional forecasts of a set of variables of interest on future paths of some variables in dynamic systems. We build a large dynamic factor models for a quarterly data set of 30 macroeconomic and financial indicators. Results of forecasting suggest that conditional FAVAR models which incorporate more economic information outperform the unconditional FAVAR in terms of the forecast errors.

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Year of publication:	2017
Authors:	Romdhane, Hajer Ben ; Tanfous, Nahed Ben
Publisher:	Geneva, Switzerland : Graduate Institute of International and Development Studies, International Economics Department
Subject:	FAVAR \| Conditional FAVAR \| Conditional Forecast \| Tunesien \| Tunisia \| VAR-Modell \| VAR model \| Szenariotechnik \| Scenario analysis \| Prognoseverfahren \| Forecasting model \| Schätzung \| Estimation