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

CentER Discussion Paper Series No. 2011-054

20 Pages Posted: 10 May 2011

See all articles by J.R. Magnus

J.R. Magnus

Vrije Universiteit Amsterdam, School of Business and Economics

Karen Poghosyan

Government of the Republic of Armenia - Central Bank of the Republic of Armenia

Date Written: May 1, 2011

Abstract

Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known BMA and the recently developed WALS. Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using quarterly data from 2000-2010, and we estimate and forecast real GDP and inflation dynamics.

Keywords: Dynamic models, Factor analysis, Model averaging, Monte

JEL Classification: C11, C13, C52, C53, E52, E58

Suggested Citation

Magnus, Jan R. and Poghosyan, Karen, WALS Estimation and Forecasting in Factor-Based Dynamic Models with an Application to Armenia (May 1, 2011). CentER Discussion Paper Series No. 2011-054. Available at SSRN: https://ssrn.com/abstract=1836475 or http://dx.doi.org/10.2139/ssrn.1836475

Jan R. Magnus (Contact Author)

Vrije Universiteit Amsterdam, School of Business and Economics ( email )

De Boelelaan 1105
Amsterdam, 1081HV
Netherlands

Karen Poghosyan

Government of the Republic of Armenia - Central Bank of the Republic of Armenia ( email )

6 Vazgen Sargsyan St
Yerevan, 375010
Armenia

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