Template-Type: ReDIF-Article 1.0
Author-Name:  Karen Poghosyan
Author-Email: kpoghosyan@cba.am
Author-Workplace-Name: Central Bank of Armenia, Economic Research Department 
Author-Name:  Jan R. Magnus
Author-Email: magnus@uvt.nl
Author-Workplace-Name: Department of Econometrics & Operations Research, Tilburg University
Title: WALS Estimation and Forecasting in Factor-based Dynamic Models with an Application to Armenia
Abstract:  Two model averaging approaches are used and compared in estimating and forecasting dynamic factor models, the well-known Bayesian model averaging (BMA) and the recently developed weighted average least squares (WALS). Both methods propose to combine frequentist estimators using Bayesian weights. We apply our framework to the Armenian economy using quarterly data from 2000–2010, and we estimate and forecast real GDP growth and inflation.
Classification-JEL: C11, C13, C52, C53, E52, E58
Keywords: Dynamic Models, Factor Analysis, Model Averaging, Monte Carlo, Armenia
Journal: International Econometric Review
Pages: 40-58
Volume: 4
Issue: 1
Year: 2012
Month: April
File-URL: http://www.era.org.tr/makaleler/3050061.pdf
File-Format: Application/pdf
Handle: RePEc:erh:journl:v:4:y:2012:i:1:p:40-58