메뉴 건너뛰기




Volumn 17, Issue 2, 1998, Pages 147-165

Inflation forecasting for aggregates of the EU-7 and EU-14 with Bayesian VAR models

Author keywords

Bayesian; EU aggregates; Forecasting; Macro economics; Vector autoregression

Indexed keywords


EID: 0043254330     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-131X(199803)17:2<147::AID-FOR674>3.0.CO;2-Q     Document Type: Article
Times cited : (5)

References (40)
  • 1
    • 85034195536 scopus 로고
    • BVAR models in the context of co-integration: A Monte Carlo experiment
    • Working Paper, Madrid
    • Alvarez, L. J. and Ballabriga, F. M. C., 'BVAR models in the context of co-integration: A Monte Carlo experiment', Working Paper, Banco de España No. 9405, Madrid, 1994.
    • (1994) Banco de España No. 9405
    • Alvarez, L.J.1    Ballabriga, F.M.C.2
  • 4
    • 85034196412 scopus 로고
    • Prior specification and forecasting performance: A BVAR model of Austria's monetary sector
    • W.-R. Heilmann, Karlsruhe
    • Brandner, P. 'Prior specification and forecasting performance: a BVAR model of Austria's monetary sector', in Geld, Banken und Versicherungen, W.-R. Heilmann, Karlsruhe, 1987.
    • (1987) Geld, Banken und Versicherungen
    • Brandner, P.1
  • 5
    • 0038606000 scopus 로고
    • Interdependence between the Netherlands and Germany: Forecasting with VAR models
    • Bikker, J. A., 'Interdependence between the Netherlands and Germany: forecasting with VAR models', De Economist, 141 (1992), 43-69.
    • (1992) De Economist , vol.141 , pp. 43-69
    • Bikker, J.A.1
  • 6
    • 24944530867 scopus 로고    scopus 로고
    • Modelkeuze via voorspelkwaliteit: Een Bayesiaans VAR model voor Nederland
    • in Dutch: Van der Laan, G., et al., (eds), Vrije Universiteit, Amsterdam
    • Bikker, J. A., 'Modelkeuze via voorspelkwaliteit: een Bayesiaans VAR model voor Nederland' (in Dutch: Model selection based on forecast performance: a Bayesian VAR model for the Netherlands), in Van der Laan, G., et al., (eds), Econometrie in beweging (Developments in Econometrics), Vrije Universiteit, Amsterdam. 1997, 7-21.
    • (1997) Econometrie in Beweging (Developments in Econometrics) , pp. 7-21
    • Bikker, J.A.1
  • 8
    • 0017656033 scopus 로고
    • A canonical analysis of multiple time series
    • Box, C. E. P. and Tiao, G. C., 'A canonical analysis of multiple time series', Biometrica, 64 (1977), 355-65.
    • (1977) Biometrica , vol.64 , pp. 355-365
    • Box, C.E.P.1    Tiao, G.C.2
  • 9
    • 34248625602 scopus 로고
    • On the limitations of comparing mean squared forecast errors
    • Clements, M. P. and Hendry, D. F., 'On the limitations of comparing mean squared forecast errors', Journal of Forecasting, 12 (1993a), 617-37.
    • (1993) Journal of Forecasting , vol.12 , pp. 617-637
    • Clements, M.P.1    Hendry, D.F.2
  • 10
    • 84979451648 scopus 로고
    • On the limitations of comparing mean squared forecast errors: A reply
    • Clements, M. P. and Hendry, D. F., 'On the limitations of comparing mean squared forecast errors: a reply', Journal of Forecasting, 12 (1993b), 669-76.
    • (1993) Journal of Forecasting , vol.12 , pp. 669-676
    • Clements, M.P.1    Hendry, D.F.2
  • 11
    • 0000847273 scopus 로고
    • Atheoretical macro-econometrics: A critique
    • Cooley, T. and LeRoy, S., 'Atheoretical macro-econometrics: a critique', Journal of Monetary Econometrics, 16 (1985), 283-308.
    • (1985) Journal of Monetary Econometrics , vol.16 , pp. 283-308
    • Cooley, T.1    LeRoy, S.2
  • 12
    • 0001377882 scopus 로고
    • The use of financial spreads as indicator variables: Evidence for the UK and Germany
    • Davis, E. P. and Henry, S. G. B., 'The use of financial spreads as indicator variables: evidence for the UK and Germany', IMF Staff Papers, 41 (1994), 517-25.
    • (1994) IMF Staff Papers , vol.41 , pp. 517-525
    • Davis, E.P.1    Henry, S.G.B.2
  • 13
    • 0031314630 scopus 로고    scopus 로고
    • Are financial spreads useful indicators of future inflation and output growth in EU countries?
    • forthcoming
    • Davis, E. P. and Fagan, G., 'Are financial spreads useful indicators of future inflation and output growth in EU countries?', forthcoming in Journal of Applied Econometrics, 1997.
    • (1997) Journal of Applied Econometrics
    • Davis, E.P.1    Fagan, G.2
  • 15
    • 84945763545 scopus 로고
    • Forecasting and conditional projections using realistic prior distributions
    • Doan, T. A., Litterman, R. B. and Sims, C. A., 'Forecasting and conditional projections using realistic prior distributions', Econometric Reviews, 1 (1984), 1-100.
    • (1984) Econometric Reviews , vol.1 , pp. 1-100
    • Doan, T.A.1    Litterman, R.B.2    Sims, C.A.3
  • 16
    • 84979343959 scopus 로고
    • A BVAR model for the Connecticut economy
    • Dua, P. and Ray, S. C., 'A BVAR model for the Connecticut economy', Journal of Forecasting, 14 (1995), 167-80.
    • (1995) Journal of Forecasting , vol.14 , pp. 167-180
    • Dua, P.1    Ray, S.C.2
  • 19
    • 0000128090 scopus 로고
    • Comparing information in forecasts from econometric models
    • Fair, R. C. and Shiller, R. J., 'Comparing information in forecasts from econometric models', American Economic Review, 80 (1989), 375-89.
    • (1989) American Economic Review , vol.80 , pp. 375-389
    • Fair, R.C.1    Shiller, R.J.2
  • 21
    • 0002294994 scopus 로고
    • An examination of vector autoregressive forecasts for the UK economy
    • Holden, K. and Broomhead, A., 'An examination of vector autoregressive forecasts for the UK economy', International Journal of Forecasting, 6 (1990), 11-23.
    • (1990) International Journal of Forecasting , vol.6 , pp. 11-23
    • Holden, K.1    Broomhead, A.2
  • 22
    • 0040793209 scopus 로고
    • Forecasting with generalised Bayesian vector autoregressions
    • Kadiyala, R. K. and Karlsson, S., 'Forecasting with generalised Bayesian vector autoregressions', Journal of Forecasting, 12 (1993), 365-78.
    • (1993) Journal of Forecasting , vol.12 , pp. 365-378
    • Kadiyala, R.K.1    Karlsson, S.2
  • 26
    • 84952504842 scopus 로고
    • Forecasting with Bayesian vector autoregressions: Five years of experience
    • Litterman, R. B., 'Forecasting with Bayesian vector autoregressions: five years of experience', Journal of Business and Economic Statistics, 4 (1986), 25-48.
    • (1986) Journal of Business and Economic Statistics , vol.4 , pp. 25-48
    • Litterman, R.B.1
  • 27
    • 0000135997 scopus 로고
    • Money growth volatility and the macro-economy
    • McMillin, W., 'Money growth volatility and the macro-economy', Journal of Money, Credit and Banking, 20 (1988), 319-35.
    • (1988) Journal of Money, Credit and Banking , vol.20 , pp. 319-335
    • McMillin, W.1
  • 28
    • 84952493522 scopus 로고
    • Forecasting accuracy of alternative techniques: A comparison of US macro-economic forecasts
    • McNees, S. K., 'Forecasting accuracy of alternative techniques: a comparison of US macro-economic forecasts', Journal of Business and Economic Statistics, 4 (1986), 5-15.
    • (1986) Journal of Business and Economic Statistics , vol.4 , pp. 5-15
    • McNees, S.K.1
  • 29
    • 0002477725 scopus 로고
    • Man versus model? The role of judgement in forecasting
    • McNees, S. K., 'Man versus model? The role of judgement in forecasting', New England Economic Review, (1990), 41-52.
    • (1990) New England Economic Review , pp. 41-52
    • McNees, S.K.1
  • 30
    • 0001210302 scopus 로고
    • A comparison of autoregressive univariate forecasting procedures for macro-economic time series
    • Meese, R. A. and Geweke, J., 'A comparison of autoregressive univariate forecasting procedures for macro-economic time series', Journal of Business and Economic Statistics, 2 (1984), 191-200.
    • (1984) Journal of Business and Economic Statistics , vol.2 , pp. 191-200
    • Meese, R.A.1    Geweke, J.2
  • 33
    • 0000997472 scopus 로고
    • Macro-economics and reality
    • Sims, C. A., 'Macro-economics and reality', Econometrica, 48 (1980), 1-48.
    • (1980) Econometrica , vol.48 , pp. 1-48
    • Sims, C.A.1
  • 34
    • 0002893345 scopus 로고    scopus 로고
    • An autoregressive index model for the US
    • Kmenta, J. and Ramsay, J. B. (eds), Amsterdam: North-Holland
    • Sims, C. A., 'An autoregressive index model for the US', in Kmenta, J. and Ramsay, J. B. (eds), Large-scale Macro-economic Models, Amsterdam: North-Holland, 283-327.
    • Large-scale Macro-economic Models , pp. 283-327
    • Sims, C.A.1
  • 35
    • 0000745315 scopus 로고
    • Inference in linear time series models with some unit roots
    • Sims, C., Stock, J. and Watson, M., 'Inference in linear time series models with some unit roots', Econometrica, 58 (1990), 113-44.
    • (1990) Econometrica , vol.58 , pp. 113-144
    • Sims, C.1    Stock, J.2    Watson, M.3
  • 37
    • 0002523046 scopus 로고
    • On pure and mixed statistical estimation in economies
    • Theil, H. and Goldberger, A. S., 'On pure and mixed statistical estimation in economies', International Economic Review, 2 (1961), 65-78.
    • (1961) International Economic Review , vol.2 , pp. 65-78
    • Theil, H.1    Goldberger, A.S.2
  • 39
    • 0002003470 scopus 로고
    • Improving economic forecasting with Bayesian vector autoregression
    • Todd, R. M. 'Improving economic forecasting with Bayesian vector autoregression', Federal Reserve Bank of Minneapolis Quarterly Review, 8 (1984), 18-29.
    • (1984) Federal Reserve Bank of Minneapolis Quarterly Review , vol.8 , pp. 18-29
    • Todd, R.M.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.