Since 2014
A BVAR Forecasting Model for the Chilean Economy
Economic Analysis Review
View Archive Info| Field | Value | |
| Title |
A BVAR Forecasting Model for the Chilean Economy
A BVAR Forecasting Model for the Chilean Economy |
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| Creator |
Todd, Richard M.
Morandé, Felipe |
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| Subject |
—
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| Description |
A BVAR Forecasting Model for the Chilean Economy
Doan, Litterman, and Sims have described a method for estimaling Bayesian vector autoregressive (BVAR) forecasting models. The method has been successfully applied to the U.S. macroeconomic dataset, which is relatively long and stable. Despite the brevity and volatily of the post-1976 Chilean macroeconomic dataset, this paper shows that a straightforward application of the DLS method to this datasef, with simple modification to allow for delays in the release of data, also appears to satisfy at least one criterion of relative forecasting accuracy suggested by Doan, Litterman, and Sims. However, the forecast errors of the Chilean BVARs are stil large in absolute term. Also, the model's coefficients change sharply in periods marked by policy shifts, such as the floating of the peso in 1982. |
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| Publisher |
Universidad Alberto Hurtado - Facultad de Economía y Negocios
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| Contributor |
—
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| Date |
2010-03-11
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
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| Format |
application/pdf
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| Identifier |
http://www.rae-ear.org/index.php/rae/article/view/285
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| Source |
Revista de Análisis Económico - Economic Analysis Review; Vol 3, No 2 (1988); 45-78
Revista de Análisis Económico – Economic Analysis Review; Vol 3, No 2 (1988); 45-78 0718-8870 0716-5927 |
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| Language |
eng
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| Relation |
http://www.rae-ear.org/index.php/rae/article/view/285/389
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