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Information Journal Paper

Title

MODELING AND FORECASTING IRANIAN INFLATION WITH TIME VARYING BVAR MODELS

Pages

  59-84

Keywords

Abstract

 This paper investigates the forecasting performance of different time-varying BVAR models for IRANian INFLATION. Forecast accuracy of a BVAR model with Litterman’s prior compared with a time-varying BVAR model (a version introduced by Doan et al., 1984); and a modified time-varying BVAR model, where the autoregressive coefficients are held constant and only the deterministic components are allowed to vary over time. Application using quarterly data of the IRANian economy from 1981:Q2 to 2006:Q1 shows that the performance of different specifications of time-varying BVAR models for forecasting INFLATION depends on the number of lags, hyper parameter that controls time variation, and forecast horizons. Our results, however, show that the modified time-varying BVAR model performs much better than other models regardless of the factors above.

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    APA: Copy

    HEYDARI, HASAN, & PARVIN, SOHEYLA. (2008). MODELING AND FORECASTING IRANIAN INFLATION WITH TIME VARYING BVAR MODELS. IRANIAN ECONOMIC RESEARCH, 12(36), 59-84. SID. https://sid.ir/paper/550900/en

    Vancouver: Copy

    HEYDARI HASAN, PARVIN SOHEYLA. MODELING AND FORECASTING IRANIAN INFLATION WITH TIME VARYING BVAR MODELS. IRANIAN ECONOMIC RESEARCH[Internet]. 2008;12(36):59-84. Available from: https://sid.ir/paper/550900/en

    IEEE: Copy

    HASAN HEYDARI, and SOHEYLA PARVIN, “MODELING AND FORECASTING IRANIAN INFLATION WITH TIME VARYING BVAR MODELS,” IRANIAN ECONOMIC RESEARCH, vol. 12, no. 36, pp. 59–84, 2008, [Online]. Available: https://sid.ir/paper/550900/en

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