The Use of VARMA Models in Forecasting Macroeconomic Indicators

• Autorzy: Mihaela Simionescu
• Języki publikacji: EN

Abstrakty

EN

Although the scalar components methodology used to build VARMA models is rather difficult, the VAR models application being easier in practice, the forecasts based on the first models have a higher degree of accuracy. This statement is demonstrated for variables like the 3-month Treasury bill rate and SHAPE * MERGEFORMAT the spread between the 10 year government bond yield, where the quarterly data are from the U.S. economy (horizon: first quarter of 2001 - second quarter of 2013). It was used a better measure of accuracy than those used in literature till now, the generalized forecast error of second moment, that was adapted to measure relative accuracy. (original abstract)

Słowa kluczowe

EN

Macroeconomic forecasting; Macroeconomic indicators; Correlation

PL

Prognozowanie makroekonomiczne; Wskaźniki makroekonomiczne; Korelacja

• Czasopismo: Economics & Sociology
• Rocznik: 2013
• Tom: 6
• Numer: nr 2
• Strony: 94--102

Twórcy

autor

Mihaela Simionescu

• Romanian Academy

Bibliografia

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Identyfikatory

DOI

10.14254/2071-789X.2013/6-2/9