AN EVALUATION OF ALTERNATIVE BVAR MODELS FOR FORECASTING IRANIAN INFLATION

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HEIDARI HASSAN

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Journal: Iranian Journal of Economic Research Year:2012 | Volume:17 | Issue:50 Page(s): 65-81

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Title

AN EVALUATION OF ALTERNATIVE BVAR MODELS FOR FORECASTING IRANIAN INFLATION

Author(s)

HEIDARI HASSAN | Issue Writer Certificate

Keywords

INFLATION FORECASTINGQ2

BVAR MODELSQ2

G-PRIORQ2

IRANQ2

Abstract

This paper investigates the use of different priors to improve the INFLATION FORECASTING performance of BVAR MODELS with Litterman's prior. A Quasi-Bayesian method, with several different priors, is applied to a VAR model of the IRANian economy from 1981: Q2 to 2007: Q1. A novel feature with this paper is the use of G-PRIOR in the BVAR MODELS to alleviate poor estimation of drift parameters of Traditional BVAR MODELS. Some results are as follows: our results show that in the Quasi-Bayesian framework, BVAR MODELS with Normal-Wishart prior provides the most accurate forecasts of IRANian inflation, The results also show that generally in the parsimonious models, the BVAR with G-PRIOR performs better than BVAR with Litterman's prior.

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APA: Copy

HEIDARI, HASSAN. (2012). AN EVALUATION OF ALTERNATIVE BVAR MODELS FOR FORECASTING IRANIAN INFLATION. IRANIAN ECONOMIC RESEARCH, 17(50), 65-81. SID. https://sid.ir/paper/2738/en

Vancouver: Copy

HEIDARI HASSAN. AN EVALUATION OF ALTERNATIVE BVAR MODELS FOR FORECASTING IRANIAN INFLATION. IRANIAN ECONOMIC RESEARCH[Internet]. 2012;17(50):65-81. Available from: https://sid.ir/paper/2738/en

IEEE: Copy

HASSAN HEIDARI, “AN EVALUATION OF ALTERNATIVE BVAR MODELS FOR FORECASTING IRANIAN INFLATION,” IRANIAN ECONOMIC RESEARCH, vol. 17, no. 50, pp. 65–81, 2012, [Online]. Available: https://sid.ir/paper/2738/en

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