The Use of Varma Models in Forecasting Macroeconomic Indicators
Vol. 6, No 2, 2013
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Mihaela Simionescu PhD Academy of Economic Studies Bucharest, Romania E-mail: mihaela_mb1@yahoo.com |
THE USE OF VARMA MODELS IN FORECASTING MACROECONOMIC INDICATORS |
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ABSTRACT. 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.
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Received: July, 2013 1st Revision: September, 2013 Accepted: October, 2013
DOI:10.14254/2071-789X.2013/6-2/9 |
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JEL Classification: C11, C13, C51 |
Keywords: macroeconomic forecasts, VARMA models, accuracy, scalar components methodology, full information maximum likelihood, canonical correlation. |
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