Apriorní nastavení BVAR modelů a jeho vliv na kvalitu predikční hustoty – Bc. Jakub Janek
Bc. Jakub Janek
Master's thesis
Apriorní nastavení BVAR modelů a jeho vliv na kvalitu predikční hustoty
Prior setting in BVAR models and its impact on the quality of forecast density
Abstract:
Bayesian VAR (BVAR) models are a popular tool for macroeconomic forecasting, which is evident from a large amount of literature. Their popularity started to become apparent when large models with appropriate shrinkage priors brought better forecasting results when compared to their smaller counterparts. This diploma thesis reviews commonly used shrinkage priors and discuss details about model estimation …moreAbstract:
Bayesiánske VAR (BVAR) modely sú popúlarnym nástrojom na prognózovanie makroekonomických veličín, o čom svedčí aj množsto odbornej literátury. Ich rozmach však nastal, keď sa veľké VAR modely s vhodným apriórnym nastavením ukázali ako schopný nástroj na prognózovanie, ktorý dokonca v predikčných schopnostiach predčil dovtedy zaužívané menšie VAR systémy. Táto diplomová práca zhŕňa najčastejšie sa vyskytujúce …moreKeywords
Bayesiánsky VAR model Vyhodnocovanie predikčnej hustoty Apriórne rozdelenia Ekonomika USA Predikcie rastu HDP Predikcie inflácie Predikcie miery nezamestnanosti Bayesian VAR model Density forecast evaluation Prior distribution US economy GDP growth forecasts Inflation Forecasts Unemployment rate forecasts
Language used: Slovak
Date on which the thesis was submitted / produced: 6. 1. 2023
Identifier:
https://is.muni.cz/th/zxqbj/
Thesis defence
- Date of defence: 31. 1. 2023
- Supervisor: Mgr. Jakub Chalmovianský, Ph.D.
- Reader: doc. Ing. Daniel Němec, Ph.D.
Citation record
ISO 690-compliant citation record:
JANEK, Jakub. \textit{Apriorní nastavení BVAR modelů a jeho vliv na kvalitu predikční hustoty}. Online. Master's thesis. Brno: Masaryk University, Faculty of Economics and Administration. 2023. Available from: https://theses.cz/id/7etqzo/.
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Institution archiving the thesis and making it accessible: Masarykova univerzita, Ekonomicko-správní fakultaMasaryk University
Faculty of Economics and AdministrationMaster programme / field:
Mathematical and Statistical Methods in Economics / Mathematical and Statistical Methods in Economics