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  • General Founder and Publisher:

    Centre of Sociological Research


  • Publishing Partners:

    University of Szczecin (Poland)

    Széchenyi István University, (Hungary)

    Mykolas Romeris University (Lithuania)

    Alexander Dubcek University of Trencín (Slovak Republic)

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    American Sociological Association

    European Sociological Association

    World Economics Association (WEA)




The Use of Varma Models in Forecasting Macroeconomic Indicators

Vol. 6, No 2, 2013



Mihaela Simionescu


Academy of Economic Studies Bucharest, Romania





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




JEL Classification: C11, C13, C51

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





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