publication

Conditional FAVAR and scenario analysis for a large data case of Tunisia

Authors:
Hager BEN ROMDHANE
Nahed BEN TANFOUS
2017

The aim of this paper is to compute the conditional forecasts of a set of variables of interest on future paths of some variables in dynamic systems. We build a large dynamic factor models for a quarterly data set of 30 macroeconomic and financial indicators. Results of forecasting suggest that conditional FAVAR models which incorporate more economic information outperform the unconditional FAVAR in terms of the forecast errors.