Forecasting inflation in Russia by dynamic model averaging
Книги

Forecasting inflation in Russia by dynamic model averaging

Книги

Forecasting inflation in Russia by dynamic model averaging

Styrin, K. Forecasting inflation in Russia by dynamic model averaging / K. Styrin; The Central Bank of the Russian Federation. — Moscow : Bank of Russia, 2018. — 44 p.: il.. — (Working paper series; 39, december). — References: p. 23-24.

Аннотация

In this study, I forecast CPI inflation in Russia by the method of Dynamic Model Averaging (Raftery et al., 2010; Koop and Korobilis, 2012) pseudo out-of-sample on historical data. This method can be viewed as an extension of the Bayesian Model Averaging where the identity of a model that generates data and model parameters are allowed to change over time. The DMA is shown not to produce forecasts superior to simpler benchmarks even if a subset of individual predictors is pre-selected “with the benefit of hindsight” on the full sample. The two groups of predictors that feature the highest average values of the posterior inclusion probability are loans to non-financial firms and individuals along with actual and anticipated wages.
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    330.4

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