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WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia

Yıl 2012, Cilt 4, Sayı 1, 40 - 58, 01.04.2012

Öz

Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known Bayesian model averaging (BMA) and the recently developed weighted average least squares (WALS). Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using quarterly data from 20002010, and we estimate and forecast real GDP growth and inflation.

Kaynakça

  • Bernanke, B.S., J. Boivin and P. Eliasz (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, 120, 387–422.
  • Danilov, D. and J.R. Magnus (2004). On the harm that ignoring pretesting can cause. Journal of Econometrics, 122, 27–46.
  • De Luca, G. and J.R. Magnus (2011). Bayesian model averaging and weighted average least squares: Equivariance, stability, and numerical issues. The Stata Journal, 11, 518-544.
  • Forni, M., M. Hallin, M. Lippi and L. Reichlin (2000). The generalized dynamic-factor model: Identification and estimation. The Review of Economics and Statistics, 82, 540– 554.
  • Forni, M., M. Hallin, M. Lippi and L. Reichlin (2003). Do financial variables help forecasting inflation and real activity in the euro area. Journal of Monetary Economics, 50, 1243– 1255.
  • Koop, G. and S. Potter (2004). Forecasting in dynamic factor models using Bayesian model averaging. The Econometrics Journal, 7, 550–565.
  • Magnus, J.R. and J. Durbin (1999). Estimation of regression coefficients of interest when other regression coefficients are of no interest. Econometrica, 67, 639–643.
  • Magnus, J.R., O. Powell and P. Prüfer (2010). A comparison of two model averaging techniques with an application to growth empirics. Journal of Econometrics, 154, 139– 153.
  • Magnus, J.R., A.T.K. Wan and X. Zhang (2011). Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market. Computational Statistics & Data Analysis, 55, 1331–1341.
  • Mann, H.B. and A. Wald (1943). On the statistical treatment of linear stochastic difference equations. Econometrica, 11, 173–220.
  • Stock, J.H. and M.W. Watson (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20, 147–162.
  • Zellner, A. (1986). On assessing prior distributions and Bayesian regression analysis with g- prior distributions. In Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti, ed. P.K. Goel and A. Zellner. Amsterdam: North-Holland, 233–243.

Yıl 2012, Cilt 4, Sayı 1, 40 - 58, 01.04.2012

Öz

Kaynakça

  • Bernanke, B.S., J. Boivin and P. Eliasz (2005). Measuring the effects of monetary policy: A factor-augmented vector autoregressive (FAVAR) approach. Quarterly Journal of Economics, 120, 387–422.
  • Danilov, D. and J.R. Magnus (2004). On the harm that ignoring pretesting can cause. Journal of Econometrics, 122, 27–46.
  • De Luca, G. and J.R. Magnus (2011). Bayesian model averaging and weighted average least squares: Equivariance, stability, and numerical issues. The Stata Journal, 11, 518-544.
  • Forni, M., M. Hallin, M. Lippi and L. Reichlin (2000). The generalized dynamic-factor model: Identification and estimation. The Review of Economics and Statistics, 82, 540– 554.
  • Forni, M., M. Hallin, M. Lippi and L. Reichlin (2003). Do financial variables help forecasting inflation and real activity in the euro area. Journal of Monetary Economics, 50, 1243– 1255.
  • Koop, G. and S. Potter (2004). Forecasting in dynamic factor models using Bayesian model averaging. The Econometrics Journal, 7, 550–565.
  • Magnus, J.R. and J. Durbin (1999). Estimation of regression coefficients of interest when other regression coefficients are of no interest. Econometrica, 67, 639–643.
  • Magnus, J.R., O. Powell and P. Prüfer (2010). A comparison of two model averaging techniques with an application to growth empirics. Journal of Econometrics, 154, 139– 153.
  • Magnus, J.R., A.T.K. Wan and X. Zhang (2011). Weighted average least squares estimation with nonspherical disturbances and an application to the Hong Kong housing market. Computational Statistics & Data Analysis, 55, 1331–1341.
  • Mann, H.B. and A. Wald (1943). On the statistical treatment of linear stochastic difference equations. Econometrica, 11, 173–220.
  • Stock, J.H. and M.W. Watson (2002). Macroeconomic forecasting using diffusion indexes. Journal of Business & Economic Statistics, 20, 147–162.
  • Zellner, A. (1986). On assessing prior distributions and Bayesian regression analysis with g- prior distributions. In Bayesian Inference and Decision Techniques: Essays in Honor of Bruno de Finetti, ed. P.K. Goel and A. Zellner. Amsterdam: North-Holland, 233–243.

Ayrıntılar

Konular Sosyal, İşletme
Diğer ID JA99DS22FZ
Bölüm Makaleler
Yazarlar

Karen POGHOSYAN Bu kişi benim


Jan R. MAGNUS Bu kişi benim

Yayımlanma Tarihi 1 Nisan 2012
Yayınlandığı Sayı Yıl 2012, Cilt 4, Sayı 1

Kaynak Göster

Bibtex @ { ier278019, journal = {International Econometric Review}, issn = {1308-8793}, eissn = {1308-8815}, address = {Şairler Sokak, No:32/C, Gaziosmanpaşa, Ankara}, publisher = {Ekonometrik Araştırmalar Derneği}, year = {2012}, volume = {4}, pages = {40 - 58}, doi = {}, title = {WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia}, key = {cite}, author = {Poghosyan, Karen and Magnus, Jan R.} }
APA Poghosyan, K. & Magnus, J. R. (2012). WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia . International Econometric Review , 4 (1) , 40-58 . Retrieved from https://dergipark.org.tr/tr/pub/ier/issue/26392/278019
MLA Poghosyan, K. , Magnus, J. R. "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia" . International Econometric Review 4 (2012 ): 40-58 <https://dergipark.org.tr/tr/pub/ier/issue/26392/278019>
Chicago Poghosyan, K. , Magnus, J. R. "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia". International Econometric Review 4 (2012 ): 40-58
RIS TY - JOUR T1 - WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia AU - Karen Poghosyan , Jan R. Magnus Y1 - 2012 PY - 2012 N1 - DO - T2 - International Econometric Review JF - Journal JO - JOR SP - 40 EP - 58 VL - 4 IS - 1 SN - 1308-8793-1308-8815 M3 - UR - Y2 - 2021 ER -
EndNote %0 International Econometric Review WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia %A Karen Poghosyan , Jan R. Magnus %T WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia %D 2012 %J International Econometric Review %P 1308-8793-1308-8815 %V 4 %N 1 %R %U
ISNAD Poghosyan, Karen , Magnus, Jan R. . "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia". International Econometric Review 4 / 1 (Nisan 2012): 40-58 .
AMA Poghosyan K. , Magnus J. R. WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia. IER. 2012; 4(1): 40-58.
Vancouver Poghosyan K. , Magnus J. R. WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia. International Econometric Review. 2012; 4(1): 40-58.
IEEE K. Poghosyan ve J. R. Magnus , "WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia", International Econometric Review, c. 4, sayı. 1, ss. 40-58, Nis. 2012