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Bayesian Forecast Intervals for Inflation and Unemployment Rate in Romania

Author

Listed:
  • Mihaela Simionescu

    (Institute for Economic Forecasting of the Romanian Academy)

Abstract

This paper brings as novelty for the Romanian literature the construction of Bayesian forecast intervals for inflation and unemployment rate in the period 2004-2017. Only few intervals included the registered values on the variables, but in the last stage when all the prior information has been used, the forecast intervals are very short. On the other hand, a novelty for the international literature is brought in this research by proposing a Bayesian technique for assessing prediction intervals in a better way than in the traditional approach that uses statistic tests.

Suggested Citation

  • Mihaela Simionescu, 2017. "Bayesian Forecast Intervals for Inflation and Unemployment Rate in Romania," Bulgarian Economic Papers bep-2017-06, Faculty of Economics and Business Administration, Sofia University St Kliment Ohridski - Bulgaria // Center for Economic Theories and Policies at Sofia University St Kliment Ohridski, revised May 2017.
    • Handle: RePEc:sko:wpaper:bep-2017-06
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    File URL: https://www.uni-sofia.bg/index.php/eng/content/download/175506/1227268/file/BEP-2017-06.pdf
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    More about this item

    Keywords

    forecast interval; Bayesian interval; inflation; unemployment;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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