@ARTICLE{Stelmasiak_Damian_Forecasting_2016,
 author={Stelmasiak, Damian and Szafrański, Grzegorz},
 number={No 1},
 journal={Central European Journal of Economic Modelling and Econometrics},
 pages={21-42},
 howpublished={online},
 year={2016},
 publisher={Oddział PAN w Łodzi},
 abstract={Bayesian VAR (BVAR) models offer a practical solution to the parameter proliferation concerns as they allow to introduce a priori information on seasonality and persistence of inflation in a multivariate framework. We investigate alternative prior specifications in the case of time series with a clear seasonal pattern. In the empirical part we forecast the monthly headline inflation in the Polish economy over the period 2011‒2014 employing two popular BVAR frameworks: a steady-state reduced-form BVAR and just-identified structural BVAR model. To evaluate the forecast performance we use the pseudo real-time vintages of timely information from consumer and financial markets. We compare different models in terms of both point and density forecasts. Using formal testing procedure for density-based scores we provide the empirical evidence of superiority of the steady-state BVAR specifications with tight seasonal priors.},
 type={Artykuły / Articles},
 title={Forecasting the Polish Inflation Using Bayesian VAR Models with Seasonality},
 URL={http://ochroma.man.poznan.pl/Content/103699/PDF-MASTER/mainFile.pdf},
 doi={10.24425/cejeme.2016.119185},
 keywords={Bayesian shrinkage, VAR models, seasonality, forecasting inflation, density-based scores},
}