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Predikční výkon BVAR a TVP-VAR modelů

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JEŘÁBEK Tomáš TRÁVNÍČEK Jan TROJAN Jakub

Rok publikování 2012
Druh Článek ve sborníku
Konference Nové trendy 2012. Sborník příspěvků z mezinárodní vědecké konference
Citace
Klíčová slova BVAR model; TVP-VAR model; stochastic volatility; forecasts
Popis Economic forecasting is necessary for solving decision problems which are based on knowledge of future values of economic variables. Multivariate time series forecasting is the foundation of almost all macroeconomic analysis. The paper focuses on performance evaluation of prediction models with constant coefficients compared to time-varying coefficients model. Models are applied to a four-dimensional monthly time series comprising growth real GDP, inflation, interest rate and real effective exchange rate of the Czech Republic. The forecast performance is evaluated employing Root mean square forecast errors. The results show that the time-varying coefficients model achieves much better performance forecasting than the models with constant coefficients.

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