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Modèles VAR et prévisions à court terme

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  • Pierre Malgrange
  • Catherine Doz

Abstract

[ger] Die Verwendung der VAR-Modelle zu Prognosezwecken, . von Catherine Doz, Pierre Malgrange.. . In diesem Artikel soil die Eignung eines als einfacher "schwarzer Kasten" verwandten VAR-Modells zu Prognosezwecken bewertet werden. Die Schätzungsergebnisse führen zu einem VAR-Modell mit Kointegrationsrelationen, das mit Hilfe der Johansen-Methode bewertet wird. Das Modell umfaßt folgende Variablen: BIP, Konsum, Ein- und Ausfuhren sowie die Investitionstätigkeit. Für die untersuchten Jahre entspricht die Leistungsfähigkeit dieses Modells bei bestimmten Zeithorizonten weitgehend der Zuverlässigkeit der von den Prognoseinstituten gemachten Vorhersagen. [spa] Utilización de modelos VAR para la previsión, . por Catherine Doz y Pierre Malgrange.. . El objeto perseguido por este artículo consiste en evaluar la aptitud de un modelo VAR, utilizado como una sencilla "caja negra" para la previsión. Los resultados de las evaluationes económicas conducen a adoptar un modelo VAR con relationes de cointegración, evaluado por el método de Johansen. Este modelo incluye las variables siguientes : Pib, consumo, importaciones, exportationes, inversiones. Para los años estudiados, los resultados de este modelo son bastante cercanos unos de otros, para ciertos horizontes, de aquellos efectuados por los organismos de previsión. [eng] Using VAR Models for Forecasting, . by Catherine Doz and Pierre Malgrange.. . The goal of this article is to evaluate the forecasting ability of a VAR model used as a simple "black box". The products of the estimations result in the selection of a VAR model with cointegration relations, as estimated by the Johansen method. It includes the following variables: GDP, consumption, imports, exports and investment. For the years studied and for certain outlooks, the performances of this model are fairly similar to those carried out by forecasting bodies. [fre] Modèles VAR et prévisions à court terme, . par Catherine Doz, Pierre Malgrange.. . Le but de cet article est d'évaluer l'aptitude d'un modèle VAR, utilisé comme une simple "boîte noire", à prévoir. Les résultats des estimations conduisent à retenir un modèle VAR avec relations de coïntégration, estimé par la méthode de Johansen. Il inclut les variables suivantes : Pib, consommation, importations, exportations, investissement. Pour les années étudiées, les performances de ce modèle sont assez voisines, pour certains horizons, de celles effectuées par les organismes de prévision.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 106 (1992)
Issue (Month): 5 ()
Pages: 109-122

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5319

Note: DOI:10.3406/ecop.1992.5319
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  1. Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(03), pages 329-342, June.
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  4. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  5. Søren Johansen & Katarina Juselius, 1988. "Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland," Discussion Papers 88-05, University of Copenhagen. Department of Economics.
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  7. Engle, R.F. & Yoo, B.S., 1989. "Cointegrated Economic Time Series: A Survey With New Results," Papers 8-89-13, Pennsylvania State - Department of Economics.
  8. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
  9. LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 664-71, November.
  10. Wallis, Kenneth F, 1989. "Macroeconomic Forecasting: A Survey," Economic Journal, Royal Economic Society, vol. 99(394), pages 28-61, March.
  11. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
  12. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
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  14. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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