PERFORMANCE OF ALTERNATIVE BV AR MODELS FOR FORECASTING IRANIAN MACROECONOMIC VARIABLES: AN APPLICATION OF GIBBS SAMPLING

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HEIDARI HASSAN; JOUHARI SALMASI PARISA

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Journal: Iranian Journal of Economic Research Year:2015 | Volume:20 | Issue:62 Page(s): 57-79

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Title

PERFORMANCE OF ALTERNATIVE BV AR MODELS FOR FORECASTING IRANIAN MACROECONOMIC VARIABLES: AN APPLICATION OF GIBBS SAMPLING

Author(s)

HEIDARI HASSAN | JOUHARI SALMASI PARISA | Issue Writer Certificate

Keywords

BVAR MODELSQ2

GIBBS SAMPLINGQ2

NORMAL WISHARD PRIORQ2

MINNOSETA PRIORQ2

IRANQ2

Abstract

Low and stable inflation with sustainable growth is the first objective of any monetary authority. To achieve this prime goal, reliable forecast of macroeconomic variables play an important role. This paper investigates the forecasting performance of BVAR MODELS with different priors for IRANian economy. For this purpose we use BV AR approach with GIBBS SAMPLING for quarterly data of the IRANian economy from 1989:Q1 to 2007:Q4. The main advantage of this paper is using GIBBS SAMPLING to estimate BVAR MODELS and use of Quasi BVAR MODELS with Normal Wishart and Minnesota priors in order to compare forecast accuracy of the macroeconomic variables. Comparison of the BV AR with Gibbs Sampler and Quasi BV AR models in this experience shows that the value of MSFE in predicting macroeconomic variables for the four ahead period forecasts in BV AR model with Gibbs algorithms is less than Quasi BV AR models. Generally BV AR model with GIBBS SAMPLING algorithms performs better than Quasi BV AR models in forecasting.

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APA: Copy

HEIDARI, HASSAN, & JOUHARI SALMASI, PARISA. (2015). PERFORMANCE OF ALTERNATIVE BV AR MODELS FOR FORECASTING IRANIAN MACROECONOMIC VARIABLES: AN APPLICATION OF GIBBS SAMPLING. IRANIAN ECONOMIC RESEARCH, 20(62), 57-79. SID. https://sid.ir/paper/2813/en

Vancouver: Copy

HEIDARI HASSAN, JOUHARI SALMASI PARISA. PERFORMANCE OF ALTERNATIVE BV AR MODELS FOR FORECASTING IRANIAN MACROECONOMIC VARIABLES: AN APPLICATION OF GIBBS SAMPLING. IRANIAN ECONOMIC RESEARCH[Internet]. 2015;20(62):57-79. Available from: https://sid.ir/paper/2813/en

IEEE: Copy

HASSAN HEIDARI, and PARISA JOUHARI SALMASI, “PERFORMANCE OF ALTERNATIVE BV AR MODELS FOR FORECASTING IRANIAN MACROECONOMIC VARIABLES: AN APPLICATION OF GIBBS SAMPLING,” IRANIAN ECONOMIC RESEARCH, vol. 20, no. 62, pp. 57–79, 2015, [Online]. Available: https://sid.ir/paper/2813/en

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