Bayesian prediction in the VEC models
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.049Keywords
cointegration, Bayesian analysis, forecasting, Bayesian model averagingAbstract
The majority of the observed macroeconomic time series may contain stochastic trends or unit roots. After the introduction of the conception of the cointegration (which enables proper modelling of such time series) an enormous development of methods of its analysis can be observed in classical as well in Bayesian econometrics. The aim of this paper is to present a Bayesian approach to prediction in the framework of the VEC model. The presented methods will be applied to the forecast of the Polish inflation and the rate of unemployment preceded by the analysis of the price – wage mechanism.
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