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Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors
[Forecasting Economic Development of Ukraine based on BVAR models with different priors]

Author

Listed:
  • Matkovskyy, Roman

Abstract

In this article the theoretical analysis and practical application of Bayesian approach for vector autoregressive model parameters estimation with different priors have been peformed. The time series was from 2001Q1 to 2010Q4 and included the following variables: GDP, CPI, exchange rate, unemployment level, nominal long-term interest rate, and gas and oil prices. Comparative analysis of nineteen received models showed, that the better results were received in the frames of BVAR(2) model with Minnesota priors. Based on this model, the forecast and impulse responses on 24 quarter ahead time horizon were also done.

Suggested Citation

  • Matkovskyy, Roman, 2012. "Прогнозування розвитку економіки України на основі баєсівських авторегресійних (BVAR) моделей з різними priors [Forecasting Economic Development of Ukraine based on BVAR models with different prior," MPRA Paper 44725, University Library of Munich, Germany, revised Nov 2012.
    • Handle: RePEc:pra:mprapa:44725
    as

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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Bayesian Vector Autoregressive model (BVAR); Gibbs sampler; MCMC; Natural Conjunction priors; informative priors; non-informative priors;
    All these keywords.

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • O11 - Economic Development, Innovation, Technological Change, and Growth - - Economic Development - - - Macroeconomic Analyses of Economic Development

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