Статья "Increasing the accuracy of macroeconomic time seri..."
| Наименование статьи | Increasing the accuracy of macroeconomic time series forecast by incorporating functional and correlational dependencies between them |
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| Страницы | 119 |
| Аннотация | The paper presents a parametric approach to forecasting vectors of macroeconomic indicators, which takes into account functional and correlation dependencies between them. It is asserted that this information allows to achieve a steady decrease in their mean-squared forecast error. The paper also provides an algorithm for calculating the general form of the corrected probability density function for each of modelled indicators. In order to prove the efficiency of the proposed method we conduct a rigorous simulation and empirical investigation. |
| Ключевые слова | regression analysis, GDP, inflation, monetary base, unemployment, maximum likelihood method, probability density function, functional and correlation dependencies of macroeconomic indicators, projection accuracy, mean square error, Bayesian econometrics |
| Журнал | Прикладная эконометрика |
| Номер выпуска | 1 |
| Автор(ы) | Volodin A., Moiseev N. |