Essays about: "Out-of-sample forecasting precision"

Found 1 essay containing the words Out-of-sample forecasting precision.

  1. 1. Can Forecasting Performance of the Bayesian Factor-Augmented VAR be Improved by Considering the Steady-State? An application to Swedish inflation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Andreas Lindvall; [2017]
    Keywords : Bayesian factor-augmented VAR; Steady-state; Inflation; Out-of-sample forecasting precision; Business and Economics;

    Abstract : This paper investigates whether the forecasting performance of Bayesian factor-augmented VAR (BFAVAR) models can be improved by incorporating an informative prior on the steady-state of the time series in the system. The BFAVAR model is compared to the extended steady-state BFAVAR in an application to forecasting Swedish inflation, making use of data from 1996 to 2016. READ MORE