JEŘÁBEK, Tomáš, Jan TRÁVNÍČEK and Jakub TROJAN. Predikční výkon BVAR a TVP-VAR modelů (Prediction performance of BVAR and TVP-VAR models). In Nové trendy 2012. Sborník příspěvků z mezinárodní vědecké konference. 1st ed. Znojmo: Soukromá vysoká škola ekonomická Znojmo, 2012, p. 63-76, 295 pp. ISBN 978-80-87314-29-6.
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Basic information
Original name Predikční výkon BVAR a TVP-VAR modelů
Name in Czech Predikční výkon BVAR a TVP-VAR modelů
Name (in English) Prediction performance of BVAR and TVP-VAR models
Authors JEŘÁBEK, Tomáš, Jan TRÁVNÍČEK and Jakub TROJAN.
Edition 1. vyd. Znojmo, Nové trendy 2012. Sborník příspěvků z mezinárodní vědecké konference, p. 63-76, 295 pp. 2012.
Publisher Soukromá vysoká škola ekonomická Znojmo
Other information
Type of outcome Proceedings paper
Confidentiality degree is not subject to a state or trade secret
ISBN 978-80-87314-29-6
Keywords in English BVAR model; TVP-VAR model; stochastic volatility; forecasts
Tags Reviewed
Changed by Changed by: RNDr. Jakub Trojan, MSc, Ph.D., učo 151236. Changed: 8/3/2015 08:30.
Abstract (in English)
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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