Assessing Forecast Performance in a VEC Model: An Empirical Examination

This file is part of IDEAS, which uses RePEc data

Assessing Forecast Performance in a VEC Model: An Empirical Examination

Author Info

Zacharias Bragoudakis (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.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0507013.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 15 pages
Date of creation: 25 Jul 2005
Date of revision:
Handle: RePEc:wpa:wuwpem:0507013

Note: Type of Document - doc; pages: 15
Contact details of provider:
Web page: http://129.3.20.41

For technical questions regarding this item, or to correct its listing, contact: (EconWPA).

Find related papers by JEL classification:
C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Statistical Simulation Methods
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
E0 - Macroeconomics and Monetary Economics - - General
E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook

This paper has been announced in the following NEP Reports:

NEP-ALL-2005-08-13 (All new papers)
NEP-ETS-2005-08-13 (Econometric Time Series)
NEP-FOR-2005-08-13 (Forecasting)
NEP-MAC-2005-08-13 (Macroeconomics)

Statistics

Access and download statistics

Did you know? There are NEP reports in over 80 fields that deliver new research to your email.

This page was last updated on 2009-10-24.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.