WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia
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....
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Econometric Research Association
2012-05-01
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| Series: | International Econometric Review |
| Subjects: | |
| Online Access: | http://www.era.org.tr/makaleler/3050061.pdf |
| _version_ | 1797909520932929536 |
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| author | Karen Poghosyan Jan R. Magnus |
| author_facet | Karen Poghosyan Jan R. Magnus |
| author_sort | Karen Poghosyan |
| collection | DOAJ |
| description | 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. |
| first_indexed | 2024-04-10T11:09:40Z |
| format | Article |
| id | doaj.art-f9ed99906a6749b98cf744849c041281 |
| institution | Directory Open Access Journal |
| issn | 1308-8793 1308-8815 |
| language | English |
| last_indexed | 2024-04-10T11:09:40Z |
| publishDate | 2012-05-01 |
| publisher | Econometric Research Association |
| record_format | Article |
| series | International Econometric Review |
| spelling | doaj.art-f9ed99906a6749b98cf744849c0412812023-02-15T16:19:16ZengEconometric Research AssociationInternational Econometric Review1308-87931308-88152012-05-01414058WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to ArmeniaKaren Poghosyan 0Jan R. Magnus1Central Bank of ArmeniaTilburg UniversityTwo 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.http://www.era.org.tr/makaleler/3050061.pdfDynamic ModelsFactor AnalysisModel AveragingMonte CarloArmenia |
| spellingShingle | Karen Poghosyan Jan R. Magnus WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia International Econometric Review Dynamic Models Factor Analysis Model Averaging Monte Carlo Armenia |
| title | WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia |
| title_full | WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia |
| title_fullStr | WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia |
| title_full_unstemmed | WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia |
| title_short | WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia |
| title_sort | wals estimation and forecasting in factor based dynamic models with an application to armenia |
| topic | Dynamic Models Factor Analysis Model Averaging Monte Carlo Armenia |
| url | http://www.era.org.tr/makaleler/3050061.pdf |
| work_keys_str_mv | AT karenpoghosyan walsestimationandforecastinginfactorbaseddynamicmodelswithanapplicationtoarmenia AT janrmagnus walsestimationandforecastinginfactorbaseddynamicmodelswithanapplicationtoarmenia |