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Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach

  • Huang, Y-F.
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    This study compares several Bayesian vector autoregressive (VAR) models for forecasting price inflation and output growth in China. The results indicate that models with shrinkage and model selection priors, that restrict some VAR coefficients to be close to zero, perform better than models with Normal prior.

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    File URL: http://mpra.ub.uni-muenchen.de/41933/1/MPRA_paper_41933.pdf
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    Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 41933.

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    Date of creation: Oct 2012
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    Handle: RePEc:pra:mprapa:41933
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    1. Dimitris Korobilis, 2013. "Var Forecasting Using Bayesian Variable Selection," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(2), pages 204-230, 03.
    2. Dimitris Korobilis, 2011. "Hierarchical Shrinkage Priors for Dynamic Regressions with Many Predictors," Working Paper Series 21_11, The Rimini Centre for Economic Analysis.
    3. Koop, Gary, 2011. "Forecasting with Medium and Large Bayesian VARs," SIRE Discussion Papers 2011-38, Scottish Institute for Research in Economics (SIRE).
    4. Marcellino, Massimiliano & Stock, James H & Watson, Mark W, 2005. "A Comparison of Direct and Iterated Multistep AR Methods for Forecasting Macroeconomic Time Series," CEPR Discussion Papers 4976, C.E.P.R. Discussion Papers.
    5. Philipp Maier, 2011. "Mixed Frequency Forecasts for Chinese GDP," Working Papers 11-11, Bank of Canada.
    6. Koop, Gary & Korobilis, Dimitris, 2009. "Bayesian Multivariate Time Series Methods for Empirical Macroeconomics," MPRA Paper 20125, University Library of Munich, Germany.
    7. Korobilis, Dimitris, 2009. "Assessing the transmission of monetary policy using dynamic factor models," MPRA Paper 27593, University Library of Munich, Germany, revised Nov 2010.
    8. Kadiyala, K Rao & Karlsson, Sune, 1997. "Numerical Methods for Estimation and Inference in Bayesian VAR-Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
    9. Mehrotra , Aaron & Sánchez-Fung, José R., 2008. "Forecasting Inflation in China," BOFIT Discussion Papers 2/2008, Bank of Finland, Institute for Economies in Transition.
    10. Korobilis, Dimitris, 2008. "Forecasting in vector autoregressions with many predictors," MPRA Paper 21122, University Library of Munich, Germany.
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