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A Strategy To Improve The Gdp Index Forcasts In Romania Using Moving Average Models Of Historical Errors Of The Dobrescu Macromodel

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  • Mihaela BRATU (SIMIONESCU)

    () (Faculty of Cybernetics, Statistics and Economic Informatics, Academy of Economic Studies, Bucharest)

Abstract

In this paper article, two strategies based on the econometric approach are proposed in order to improve the forecast accuracy of GDP index in Romania. First, the index is predicted starting from an econometric model that reflects the relationship between the GDP index and the GDP deflator. Then, the errors of these forecasts are computed. On the other hand, the errors result directly from an econometric model that shows the relationship between the GDP index forecast errors and the GDP deflator prediction errors. The data series are historical errors of forecasts based on the Dobrescu macromodel. The forecasts errors of the GDP index based on the Dobrescu macromodel historical errors for 2009-2011 are lower than the errors taken directly from the proposed econometric model. However, the Dobrescu macromodel provided a better accuracy for the GDP index. If the historical errors are predicted using updated MA(1 )models, the one-step-ahead forecasts are the most accurate, this being a suitable strategy to improve the prediction accuracy.

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Bibliographic Info

Article provided by Institute of National Economy in its journal Romanian Journal of Economics.

Volume (Year): 35 (2012(XXII))
Issue (Month): 2(44) (December)
Pages: 128-138

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Handle: RePEc:ine:journl:v:2:y:2012:i:44:p:128-138

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Keywords: accuracy; econometric models; forecasts; predictions; errors;

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  1. Philip Hans Franses & Michael McAleer & Rianne Legerstee, 2012. "Evaluating Macroeconomic Forecasts: A Concise Review of Some Recent Developments," Working Papers in Economics 12/12, University of Canterbury, Department of Economics and Finance.
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  3. Jonas Dovern & Johannes Weisser, 2009. "Accuracy, Unbiasedness and Efficiency of Professional Macroeconomic Forecasts: An empirical Comparison for the G7," Jena Economic Research Papers 2009-091, Friedrich-Schiller-University Jena, Max-Planck-Institute of Economics.
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  7. Granger, Clive W. J. & Jeon, Yongil, 2003. "Comparing forecasts of inflation using time distance," International Journal of Forecasting, Elsevier, vol. 19(3), pages 339-349.
  8. Hyndman, Rob J. & Koehler, Anne B., 2006. "Another look at measures of forecast accuracy," International Journal of Forecasting, Elsevier, vol. 22(4), pages 679-688.
  9. Grant Allan, 2012. "Evaluating the usefulness of forecasts of relative growth," Working Papers 1214, University of Strathclyde Business School, Department of Economics.
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