Assessing Forecast Performance in a VEC Model: An Empirical Examination
AbstractThis 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.
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Bibliographic InfoPaper provided by EconWPA in its series Econometrics with number 0507013.
Length: 15 pages
Date of creation: 25 Jul 2005
Date of revision:
Note: Type of Document - doc; pages: 15
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Web page: http://126.96.36.199
Cointegration; Forecasting; Simulation Analysis; Vector error- correction models;
Other versions of this item:
- Bragoudakis Zacharias, 2005. "Assessing Forecast Performance in a VEC Model: An Empirical Examination," Econometrics 0502007, EconWPA.
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- 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
- 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)
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