WALS Estimation and Forecasting in Factor-Based Dynamic Models with an Application to Armenia

Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known BMA and the recently developed WALS. Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using quarterly data from 2000-2010, and we estimate and forecast real GDP and inflation dynamics

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Year of publication:	2011
Authors:	Magnus, J.R.
Other Persons:	Poghosyan, Karen (contributor)
Publisher:	[2011]: [S.l.] : SSRN
Subject:	Armenien \| Armenia \| Prognoseverfahren \| Forecasting model \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory

Extent:	1 Online-Ressource (20 p)
Series:	CentER Discussion Paper Series ; No. 2011-054
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 1, 2011 erstellt
Other identifiers:	10.2139/ssrn.1836475 [DOI]
Classification:	C11 - Bayesian Analysis ; C13 - Estimation ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications ; E52 - Monetary Policy (Targets, Instruments, and Effects) ; E58 - Central Banks and Their Policies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013125420