Author: H. Heidari 1
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  • 1 Urmia University Department of Economics P.O.Box 165 Urmia Iran
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This paper investigates the use of different priors to improve the inflation forecasting performance of BVAR models with Litterman’s prior. A Quasi-Bayesian method, with several different priors, is applied to a VAR model of simulated data as well as to the Australian economy from 1978:Q2 to 2006:Q4. A novel feature with this paper is the use of g-prior in the BVAR models to alleviate poor estimation of drift parameters of Traditional BVAR models. Some results are as follows: (1) In the Quasi-Bayesian framework, BVAR models with Normal-Wishart prior provide the most accurate forecasts of Australian inflation; (2) Generally in the parsimonious models, the BVAR with g-prior performs better than BVAR with Litterman’s prior; (3) In simulated data, the BVAR model with g-prior produces more accurate forecasts of driftless variable in the long-run horizons (first and second year forecast horizons).

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Senior editors

Editor(s)-in-Chief: Prof. Dr. Mihályi, Péter

Editor(s): Ványai, Judit

Editorial Board

  • Ádám Török (Chairman) / University of Pannonia; Budapest University of Technology and Economics
  • Edina Berlinger / Corvinus University of Budapest, Department of Finance
  • Péter Halmai / Budapest University of Technology and Economics; National University of Public Service
  • István Kónya / Institute of Economics Centre for Regional and Economic Studies, University of Pécs
  • János Köllő / Institute of Economics Centre for Regional and Economic Studies
  • István Magas / Corvinus University of Budapest, Department of World Economy; University of Physical Education, Department. of Sports and Decision Sciences
 

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  • Ǻslund, Anders, Institute of International Economics, Washington (USA)
  • Kolodko, Grzegorz, Kozminski University, Warsaw (Poland)
  • Mau, Vladimir, Academy of National Economy (Russia)
  • Messerlin, Patrick A, Groupe d’Economie Mondiale (France)
  • Saul Estrin, London School of Economics (UK)
  • Wagener, Hans-Jürgen, Europa Universität Viadrina (Germany)

Corvinus University of Budapest
Department of Economics
Fővám tér 8 Budapest, H-1093, Hungary

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2020  
Total Cites 275
WoS
Journal
Impact Factor
0,875
Rank by Economics 325/377 (Q4)
Impact Factor  
Impact Factor 0,534
without
Journal Self Cites
5 Year 0,500
Impact Factor
Journal  0,38
Citation Indicator  
Rank by Journal  Economics 347/549 (Q3)
Citation Indicator   
Citable 37
Items
Total 37
Articles
Total 0
Reviews
Scimago 13
H-index
Scimago 0,292
Journal Rank
Scimago Economics and Econometrics Q3
Quartile Score  
Scopus 225/166=1,4
Scite Score  
Scopus Economics and Econometrics 392/661 (Q3)
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Scopus 0,668
SNIP  
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sumbission  
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2019  
Total Cites
WoS
212
Impact Factor 0,914
Impact Factor
without
Journal Self Cites
0,728
5 Year
Impact Factor
0,650
Immediacy
Index
0,156
Citable
Items
45
Total
Articles
45
Total
Reviews
0
Cited
Half-Life
3,9
Citing
Half-Life
9,5
Eigenfactor
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Article Influence
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0,052
% Articles
in
Citable Items
100,00
Normalized
Eigenfactor
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Average
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Scimago
H-index
12
Scimago
Journal Rank
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Scopus
Scite Score
214/165=1,3
Scopus
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Economics and Econometrics 355/637 (Q3)
Scopus
SNIP
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Acta Oeconomica
Language English
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2021 Volume 71
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