Benefits of Using Bayesian Estimation for Macromodels of Ukraine: The Case of Application to Bivariate VAR Model

–aroslava –sevolodivna –telmashenko, National University of Kyiv-Mohyla Academy


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Abstract


Ukrainian econometricians often face a shortage of observations necessary for providing precise an­swers to complex macroeconomic questions. Recent studies have shown that the Bayesian Estimation ap­proach can solve this problem as it is partially based on nonsample information. In this paper the theo­retical analysis and practical application of using the Bayesian Estimation is presented. A bivariate VAR(2) model has been build to estimate quarterly GDP growth and CPI for Ukraine using Gibbs sampling and a Minnesota prior The empirical results show robust correlation between the estimate and actual quar­terly GDP and CPI figures, indicating the ability of the Bayesian Estimation to provide a high level of ac­curacy in macromodels of Ukraine.


Keywords


Bayesian Estimation; Gibbs sampling; Minnesota prior; random walk; the Inverse Wishart Distribution; bivariate VAR

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Citations

Cite this article in APA format:

, . (2014). Benefits of Using Bayesian Estimation for Macromodels of Ukraine: The Case of Application to Bivariate VAR Model. Scientific Papers NaUKMA. Economics, 159, 81-84.

Cite this article in GOST format:

. Benefits of Using Bayesian Estimation for Macromodels of Ukraine: The Case of Application to Bivariate VAR Model // Scientific Papers NaUKMA. Economics. - 2014. - Vol. 159. - P. 81-84.

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