Huang, Y-F. (2012): Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach.
Download (443kB) | Preview
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.
|Item Type:||MPRA Paper|
|Original Title:||Forecasting Chinese inflation and output: A Bayesian vector autoregressive approach|
|Keywords:||BVAR; factor model; shrinkage priors|
|Subjects:||C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models
C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General
|Depositing User:||YihFang Huang|
|Date Deposited:||17 Oct 2012 10:03|
|Last Modified:||24 Jul 2016 22:19|
Gerlach, S. and Kong, J. (2005). “Money and Inflation in China,” No 0504, Working Papers, Hong Kong Monetary Authority.
Kadiyala, K. and Karlsson, S. (1997). “Numerical methods for estimation and inference in bayesian var-models,” Journal of Applied Econometrics, 12, 99-132.
Koop, G. (2003). “Bayesian Econometrics,” John Wiley & Sons, Chichester.
Koop, G. (2011). “Forecasting with Medium and Large VARs,” Journal of Applied Econometrics, forthcoming.
Koop, G. and Korobilis, D. (2010). “Bayesian Multivariate Time Series Methods for Empirical Macroeconomics,” Foundations and Trends in Econometrics, 3, pp. 267-358.
Korobilis, D. (2008). “Forecasting in Vector Autoregressions with Many Predictors,” Advances in Econometrics, 23: Bayesian Macroeconometrics, pp. 403-431.
Korobilis, D. (2009). “Assessing the Transmission of Monetary Policy Shocks Using Dynamic Factor Models,” University of Strathclyde, Discussion Papers in Economics, No. 09-14.
Korobilis, D. (2011). “Hierarchical shrinkage priors for dynamic regressions with many predictors,” CORE Discussion Papers 2011021.
Korobilis, D. (2012). “VAR Forecasting Using Bayesian Variable Selection,” Journal of Applied Econometrics, forthcoming.
Litterman, R. (1986). “Forecasting with Bayesian Vector Autoregressions-Five Years of Experience,” Journal of Business & Economic Statistics, 4, 25-38.
Maier, P. (2011). “Mixed Frequency Forecasts for Chinese GDP,” Working Papers 11-11, Bank of Canada.
Marcellino, M., Stock, J. H. and Watson, M. (2006). “A comparison of direct and iterated multistep AR methods for forecasting macroeconomic time series,” Journal of Econometrics, vol. 135(1-2), pp. 499-526.
Mehrotra, A. and Sánchez-Fung, J. (2008). “Forecasting inflation in China,” BOFIT Discussion Papers, 2-2008.
Sims, Christopher A, 1980. “Macroeconomics and Reality,” Econometrica, vol. 48(1), pp. 1-48.