WALS estimation and forecasting in factor-based dynamic models with an application to Armenia

K. Poghosyan, J.R. Magnus

Research output: Contribution to journalArticleScientificpeer-review

Abstract

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 2000–2010, and we estimate and forecast real GDP growth and inflation.
Original languageEnglish
Pages (from-to)40-58
JournalInternational Econometric Review
Volume4
Issue number1
Publication statusPublished - 2012

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Dynamic factor model
Real GDP
Armenia
Inflation
Bayesian model averaging
Estimator
Factors
Model averaging
Least squares
GDP growth

Cite this

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abstract = "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 2000–2010, and we estimate and forecast real GDP growth and inflation.",
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WALS estimation and forecasting in factor-based dynamic models with an application to Armenia. / Poghosyan, K.; Magnus, J.R.

In: International Econometric Review, Vol. 4, No. 1, 2012, p. 40-58.

Research output: Contribution to journalArticleScientificpeer-review

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AB - 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 2000–2010, and we estimate and forecast real GDP growth and inflation.

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