Forecasting Based On Open Var Model
AbstractConsidering as a starting point certain advantages and limits of the VAR model, we propose an opening to include some approaches suggested particularly by economic theory, such as economic policy role and that concerning corrections applied to restore an equilibrium state or a forecast error. In order to improve the forecasting quality we introduced in the VAR model certain variables that express previous approaches. The open VAR model was applied to short-time prognoses regarding the main prices in economy (consumer price index, exchange rate, monthly wage, interest rate).
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Bibliographic InfoArticle provided by Institute for Economic Forecasting in its journal Romanian Journal for Economic Forecasting.
Volume (Year): (2010)
Issue (Month): 1 (March)
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interdependence; autoregressive; simultaneous equations model; structural form; reduce form; lagged variables; error correction; test; ex-post forecast; system; intercept parameter; qualitative variable;
Find related papers by JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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