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Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach

Huang, Y-F. (2012): Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach.

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Abstract

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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