Alternative Models for Forecasting Macroeconomic Indicators in Kazakhstan

Abstract

This paper indicates special aspects of using vector auto-regression models to forecast rates of basic macroeconomic indicators in short term. In particular, traditional vector auto-regression model, Bayesian vector auto-regression model and factor augmented vector auto-regression model are shown. For parameter estimation of these models the author uses time series of Kazakhstani macroeconomic indicators between 1996 and 2015 quarterly. In virtue of mean-root-square error prediction the conclusion of optimal model is going to be chosen.