1. bookVolume 5 (2016): Issue 2 (May 2016)
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
access type Open Access

A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia

Published Online: 20 May 2016
Volume & Issue: Volume 5 (2016) - Issue 2 (May 2016)
Page range: 81 - 99
Received: 02 Sep 2015
Accepted: 19 Oct 2015
Journal Details
License
Format
Journal
eISSN
2336-9205
First Published
11 Mar 2014
Publication timeframe
3 times per year
Languages
English
Abstract

We evaluate the forecasting performance of four competing models for short-term macroeconomic forecasting: the traditional VAR, small scale Bayesian VAR, Factor Augmented VAR and Bayesian Factor Augmented VAR models. Using Armenian quarterly actual macroeconomic time series from 1996Q1 – 2014Q4, we estimate parameters of four competing models. Based on the out-of-sample recursive forecast evaluations and using root mean squared error (RMSE) criterion we conclude that small scale Bayesian VAR and Bayesian Factor Augmented VAR models are more suitable for short-term forecasting than traditional unrestricted VAR model.

Keywords

JEL

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