Bayesian Vector Autoregressive Procedure for Forecasting Swiss Economy
Lucien Rey
Broschiertes Buch

Bayesian Vector Autoregressive Procedure for Forecasting Swiss Economy

BVARs methodology for forecasting real GDP and inflation growth in Switzerland using asset prices

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This book adopts a methodology for forecasting real GDP and inflation growth in Switzerland. Introduced by Litterman (1986), this study builds forecast models for the Swiss economy. Firstly, autodistributed lagged models (ARDL) are computed, followed by the framework of Bayesian models. Bayesian vector autoregressive models (BVARs) strongly rely on the VAR framework, however they allow a better exploitation of all the information available. Using the data from 1980, out-of-sample forecasts have been computed from 2000 to 2014. Suggesting four categories that variables are grouped into, this st...