Forecasting Romanian GDP Using a BVAR Model
AbstractIn this study I use the Bayesian VAR framework to forecast the dynamics of output for the Romanian economy. I estimate several versions of Bayesian VARs and compare them in terms of forecasting statistics with two standard models, the OLS and the unrestricted VAR, as well as with a naïve forecast. The findings confirm that the BVAR approach outperforms the standard models. The best BVAR model is used for forecasting quarterly GDP in the short run. The results show that the recovery will be slow and that the output gap will continue to be negative for a few quarters even after the economy starts to grow.
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2010)
Issue (Month): 4 (December)
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More information through EDIRC
forecasting methods; VAR models; Bayesian methods; simulation methods;
Find related papers by JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
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