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Assessing Forecast Performance in a VEC Model: An Empirical Examination

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  • Bragoudakis Zacharias

    (Bank of Greece)

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://128.118.178.162/eps/em/papers/0502/0502007.pdf
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Bibliographic 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
Date of revision:
Handle: RePEc:wpa:wuwpem:0502007

Note: Type of Document - pdf; pages: 15
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Web page: http://128.118.178.162

Related research

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

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