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Assessing Forecast Performance in a VEC Model: An Empirical Examination

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Author Info
Bragoudakis Zacharias (Bank of Greece)

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Abstract

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the real-historical values using a stochastic simulation analysis. The simulation results provide new evidence supporting the ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration, Forecasting, Simulation Analysis, Vector error- correction models JEL Classifications: C15, C32, C53, E0, E6 Working Paper Series

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File URL: http://129.3.20.41/eps/em/papers/0502/0502007.pdf
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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0502007.

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Length: 15 pages
Date of creation: 09 Feb 2005
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Handle: RePEc:wpa:wuwpem:0502007

Note: Type of Document - pdf; pages: 15
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Web page: http://129.3.20.41

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Related research
Keywords: Cointegration; Forecasting; Simulation Analysis; Vector error- correction models;

Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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This page was last updated on 2009-11-20.

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