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Title

odeling and Forecasting Iranian Inflation with TimeVarying BVAR Models

Year: 1387
COI: JR_IJER-12-36_004
Language: EnglishView: 284
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Abstract:

This paper investigates the forecasting peiformance of dwerent time-varying BVAR models for Iranian inflation. Forecast accuracy of a BVAR model with Litterman quote s priorcompared with a time-vaiying BVAR model (a version introduced by Doan et al., 1984); and a modylquote ied time-varying BVAR model, where the autoregressive coejficients are held constant and onbz the deterministic components are allowed to vaiy over time Application using quarterbz data of the Iranian economy from 1981. b7Q2 to 2006. b7Q1 shows that the peiformance of dyferent specylquote ications 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 modylquote ied time varying BVAR model peiforms much better than other models regardless of the factors above

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This Paper COI Code is JR_IJER-12-36_004. Also You can use the following address to link to this article. This link is permanent and is used as an article registration confirmation in the Civilica reference:

https://civilica.com/doc/682114/

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Heidari, HASAN and Parvin, Soheila,1387,odeling and Forecasting Iranian Inflation with TimeVarying BVAR Models,https://civilica.com/doc/682114

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