Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər

Mehdiyev, Mehdi and Ahmadov, Vugar and Huseynov, Salman and Mammadov, Fuad (2015): Ölkə iqtisadiyyatı üzrə göstəricilərin modelləşdirilməsi və proqnozlaşdırılması: problemlər və praktiki çətinliklər.

Abstract

In this paper, we study main problems and practical issues of modeling and forecasting of macroeconomic variables in the national economy. For that, we employ astructural VAR models and estimate interdependencies among different economic variables. Initial data analysis of macroeconomic variables incorporated into the model show that there exist certain anomalies and high volatility in their dynamics. Only that fact alone can be considered among important factors which strongly contribute to weak interdependencies among variables. It is not surprising that researchers using different macroeconomic variables on the national economy cannot find statistically significant relations among them. Here, we use different statistical methods to reduce volatilities and anomalies present in their dynamics. We estimate VAR models with different number of variables and employ two forecasting methodologies (Waggoner and Zha (1999), Banbura, Giannone and Lenza (2014)) to construct our conditional and unconditional forecasts on several variables. In the end, we demonstrate practical problems of modeling and forecasting of macroeconomic variables and provide some policy recommendations to improve quality of statistical data on the national economy.

• Item Type: MPRA Paper
• English Title: Modeling and forecasting of macroeconomic variables of the national economy: problems and practical issues
• Language: Azerbaijani
• Keywords: Forecasting; Time series methods; Bayesian methods
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C11 - Bayesian Analysis: General; C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; 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 > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods

References

Banbura, Marta, Giannone, Domenico, and Reichlin, Lucrezia, 2010, “Bayesian VARs with Large Panels”, Journal of Applied Econometrics, Vol. 25(1), pp. 71-92

Banbura, Marta, Giannone, Domenico, and Lenza, Michele, 2014, “Conditional Forecasts and Scenario Analysis with Vector Autoregressions for Large Cross-sections”, European Central Bank, Working Paper No. 1733

Benes, Jaromir, Binning, Andrew and Lees, Kirdan, 2008, “Incorporating Judgements with DSGE models”, Reserve Bank of New Zealand, Discussion Paper No. 2008/10

Coenen, Gunter, 2000, “Asymptotic Confidence Bands for the Estimated Autocovariance and Autocorrelation Functions of Vector Autoregressive Models”, European Central Bank, Working Paper No. 9

Doan, Thomas, Litterman, Robert B. and Sims, Christopher A., 1984, “Forecasting and Conditional Projection Using Realistic Prior Distribution”, Econometric Review, Vol. 3, pp. 1-100

Ersado, Lire, 2006, “Azerbaijan’s Household Survey Data: Explaining Why Inequality is so Low?”, World Bank, Policy Research Working Paper No. 4009

Huseynov, Salman and Ahmadov Vugar, 2013, “Oil Windfalls, Fiscal Policy and Money Market Disequilibrium”, Proceedings of the 1st Annual Conference of BCC Program on “Setting up the Monetary Policy Framework: What Role for Financial Sector Considerations?”, pp. 101-111

Huseynov, Salman, and Ahmadov, Vugar, 2014, “A DSGE Model for Azerbaijan: Estimation and Forecasting”, (unpublished)

Huseynov, Salman, Ahmadov, Vugar, and Adigozalov, Shaig, 2014, “Beating a Random Walk: “Hard Times” for Forecasting Inflation in Post-Oil Boom Years?”, Proceedings of 1st International Conference on “Macroeconomic Policies and Financial Stability Issues in Emerging Markets” (forthcoming)

Hüseynov, Salman, 2014, “Orta Faiz Dərəcələrinin Hesablanması: Qısa Metodoloji Qeyd”, (nəşr olunmayıb)

International Monetary Fund (IMF), October 2014, “Aide Memoire of Staff Visit” and Press Release No. 14/479

Kilian, Lutz, 1998, “Small Sample Confidence Intervals for Impulse Response Functions”, Review of Economics and Statistics, Vol. 80(2), pp. 218-230

Lutkepohl, Helmut, 2005, New Introduction to Multiple Time Series Analysis, Springer

Waggoner, F. Daniel, and Zha, Tao, 1999, “Conditional Forecasts in Dynamic Multivariate Models”, Review of Economics and Statistics, Vol. 81(4), pp. 639-651