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Zur Evaluierung von VAR-Prognosen

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Author Info

  • Oliver Hülsewig
  • Johannes Mayr
  • Dirk Ulbricht

Abstract

In diesem Beitrag wird die Verwendung von VAR-Modellen für die Prognose des realen Bruttoinlandsprodukts in den Vereinigten Staaten analysiert. Den Ausgangspunkt bildet ein Basismodell, das neben dem realen BIP den Verbraucherpreisindex sowie einen kurzfristigen Geldmarktsatz enthält. Das Basismodell wird anschließend durch die Einbeziehung zusätzlicher makroökonomischer Variablen schrittweise erweitert. Die Prognosen der einzelnen Modelle, die als out-of-sample Prognosen generiert werden, werden für verschiedene Schätzzeiträume anhand unterschiedlicher Maße zur Überprüfung der Anpassungsgüte evaluiert. Es zeigt sich, dass die Prognosen der VAR-Modelle durchschnittlich schlechter als die eines univariaten AR(2)-Prozesses abschneiden. Die Qualität der Prognosen variiert jedoch stark in den betrachteten Schätzzeiträumen, so dass die VAR-Prognosen in einzelnen Perioden die AR(2)-Prognosen deutlich dominieren. Für die Erstellung von Prognosen erscheint es daher empfehlenswert zu sein, mehrere Modelle simultan zu betrachten.

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File URL: http://www.cesifo-group.de/portal/page/portal/DocBase_Content/ZS/ZS-ifo_Schnelldienst/zs-sd-2007/ifosd_2007_7_2.pdf
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Bibliographic Info

Article provided by Ifo Institute for Economic Research at the University of Munich in its journal ifo Schnelldienst.

Volume (Year): 60 (2007)
Issue (Month): 07 (04)
Pages: 19-25

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Handle: RePEc:ces:ifosdt:v:60:y:2007:i:07:p:19-25

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Related research

Keywords: VAR-Modell; Prognose; Sozialprodukt; Konjunkturprognose; Lebenshaltungsindex; Geldmarkt; Vereinigte Staaten;

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References

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  1. Granger, C. W. J. & Newbold, P., 1974. "Spurious regressions in econometrics," Journal of Econometrics, Elsevier, vol. 2(2), pages 111-120, July.
  2. Ben S. Bernanke & Mark Gertler & Mark Watson, 1997. "Systematic Monetary Policy and the Effects of Oil Price Shocks," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 28(1), pages 91-157.
  3. Wolfgang Nierhaus & Jan-Egbert Sturm, 2003. "Methoden der Konjunkturprognose," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 56(04), pages 7-23, 02.
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Cited by:
  1. Anna Billharz & Steffen Elstner & Marcus Jüppner, 2012. "Methoden der ifo Kurzfristprognose am Beispiel der Ausrüstungsinvestitionen," Ifo Schnelldienst, Ifo Institute for Economic Research at the University of Munich, vol. 65(21), pages 24-33, November.

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