Comparing Forecasting Accuracy between BVAR and VAR Models for the Russian Economy
Y. Rudakouski
Abstract:This paper investigates variations in the accuracy of forecasting key macroeconomic indicators through the comparison of Frequentist and Bayesian vector autoregression (VAR) models. The primary aim of the study is to identify the most effective prior type in minimizing forecast errors for the key macroeconomic indicators in the context of the Russian economy. A significant aspect of this research involves elucidating the theoretical foundations of Bayesian methods and delineating the roles of different priors … Show more
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