Journal of Scientific Papers

ECONOMICS & SOCIOLOGY


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ISSN 2071-789X



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    Centre of Sociological Research

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    University of Szczecin (Poland)


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    Alexander Dubcek University of Trencín, Faculty of Social and Economic Relations (Slovak Republic)



     
    University of Entrepreneurship and Law, (Czech Republic)

     

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The Use of Varma Models in Forecasting Macroeconomic Indicators

Vol. 6, No 2, 2013

 

 

Mihaela Simionescu

PhD

Academy of Economic Studies Bucharest, Romania

E-mail: mihaela_mb1@yahoo.com

THE USE OF VARMA MODELS IN FORECASTING MACROECONOMIC INDICATORS

 

 

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.

 

Received: July, 2013

1st Revision: September, 2013

Accepted: October, 2013

 

 

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

JEL Classification: C11, C13, C51

Keywords: macroeconomic forecasts, VARMA models, accuracy, scalar components methodology, full information maximum likelihood, canonical correlation.

 

 

References

 

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