BayVAR_R: Bayesian VAR Modeling in R

This article is devoted to examine the performance of power transformation in VAR and Bayesian VAR (BVAR) forecasts, in comparison with log-transformation. The effect of power transformation in multivariate time series model forecasts is still untouched in the literature. We examined the U.S. macroeconomic data from 1960 to 1987 and the Taiwan’s technology industrial production from 1990 to 2000. Our results showed that the power transformation provides outperforming forecasts in both VAR and BVAR models. Moreover, the non-informative prior BAVR with power transformation is the best predictive model and is recommendable to forecasting practice.

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The effects of macroeconomic policies under fixed exchange rates: A Bayesian VAR analysis

Economic Research-Ekonomska Istraživanja ◽

10.1080/1331677x.2019.1579661 ◽

2019 ◽

Vol 32 (1) ◽

pp. 2138-2160 ◽

Cited By ~ 2

Author(s):

Dragan Tevdovski ◽

Goran Petrevski ◽

Jane Bogoev

Keyword(s):

Exchange Rates ◽

Macroeconomic Policies ◽

Bayesian Var ◽

Var Analysis ◽

Fixed Exchange Rates

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Money Supply, Inflation and Exchange Rate Movement: The Case of Cambodia by Bayesian VAR Approach

10.31039/jomeino.2019.3.1.5 ◽

2019 ◽

pp. 63-81

Author(s):

Monorith Sean ◽

Pathairat Pastpipatkul ◽

Petchaluck Boonyakunakorn

Keyword(s):

Exchange Rate ◽

Money Supply ◽

Bayesian Var ◽

Exchange Rate Movement

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A Comparison of Different Short-Term Macroeconomic Forecasting Models: Evidence from Armenia

Journal of Central Banking Theory and Practice ◽

10.1515/jcbtp-2016-0012 ◽

2016 ◽

Vol 5 (2) ◽

pp. 81-99 ◽

Cited By ~ 1

Author(s):

Karen Poghosyan

Keyword(s):

Mean Squared Error ◽

Small Scale ◽

Var Models ◽

Short Term ◽

Macroeconomic Forecasting ◽

Bayesian Var ◽

Out Of Sample ◽

Competing Models ◽

Bayesian Factor ◽

Short Term Forecasting

Abstract We evaluate the forecasting performance of four competing models for short-term macroeconomic forecasting: the traditional VAR, small scale Bayesian VAR, Factor Augmented VAR and Bayesian Factor Augmented VAR models. Using Armenian quarterly actual macroeconomic time series from 1996Q1 – 2014Q4, we estimate parameters of four competing models. Based on the out-of-sample recursive forecast evaluations and using root mean squared error (RMSE) criterion we conclude that small scale Bayesian VAR and Bayesian Factor Augmented VAR models are more suitable for short-term forecasting than traditional unrestricted VAR model.

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