Bayesian vector autoregressions have been used by central banks to prepare short-term projections of quarterly GDP and other macroeconomic variables. The Bayesian approach offers the advantage that a researcher can use a priori knowledge to specify a prior distribution of the parameters. In this paper, we have combined monthly data for Saudi Arabia with quarterly fiscal and GDP variables to produce forecasts over an approximate 12-month period.

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Forecasting Saudi Arabia’s Non-Oil GDP Using a Bayesian Mixed Frequency VAR
Bayesian vector autoregressions have been used by central banks to prepare short-term projections of quarterly…
23rd May 2024
Household Expenditure Survey, Housing and Energy Costs in Saudi Arabia
Bayesian vector autoregressions have been used by central banks to prepare short-term projections of quarterly…
22nd October 2023