VARMA versus VAR for Macroeconomic Forecasting
AbstractIn this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real macroeconomic data and show that VARMA models forecast macroeconomic variables more accurately than VAR models.
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Bibliographic InfoPaper provided by Monash University, Department of Econometrics and Business Statistics in its series Monash Econometrics and Business Statistics Working Papers with number 4/06.
Length: 21 pages
Date of creation: Jan 2006
Date of revision:
Contact details of provider:
Postal: PO Box 11E, Monash University, Victoria 3800, Australia
Web page: http://www.buseco.monash.edu.au/depts/ebs/
More information through EDIRC
Other versions of this item:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C51 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Construction and Estimation
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-01-24 (All new papers)
- NEP-ECM-2006-01-24 (Econometrics)
- NEP-FOR-2006-01-24 (Forecasting)
- NEP-MAC-2006-01-24 (Macroeconomics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- George Athanasopoulos & Farshid Vahid, 2008.
"A complete VARMA modelling methodology based on scalar components,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 29(3), pages 533-554, 05.
- George Athanasopoulos & Farshid Vahid, 2006. "A Complete VARMA Modelling Methodology Based on Scalar Components," Monash Econometrics and Business Statistics Working Papers 2/06, Monash University, Department of Econometrics and Business Statistics.
- Makridakis, Spyros & Hibon, Michele, 2000. "The M3-Competition: results, conclusions and implications," International Journal of Forecasting, Elsevier, vol. 16(4), pages 451-476.
- D.S. Poskitt, .
"Specification of echelon form VARMA models,"
Statistic und Oekonometrie
9305, Humboldt Universitaet Berlin.
- Clements, M.P. & Hendry, D., 1992. "On the Limitations of Comparing Mean Square Forecast Errors," Economics Series Working Papers 99138, University of Oxford, Department of Economics.
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