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Modèles VAR et prévisions à court terme

Listed author(s):
  • Catherine Doz
  • Pierre Malgrange

[fre] Modèles VAR et prévisions à court terme, par Catherine Doz, Pierre Malgrange. Le but de cet article est d'évaluer l'aptitude d'un modèle VAR, utilisé comme une simple "boîte noire", à prévoir. Les résultats des estimations conduisent à retenir un modèle VAR avec relations de coïntégration, estimé par la méthode de Johansen. Il inclut les variables suivantes : Pib, consommation, importations, exportations, investissement. Pour les années étudiées, les performances de ce modèle sont assez voisines, pour certains horizons, de celles effectuées par les organismes de prévision. [spa] Utilización de modelos VAR para la previsión, por Catherine Doz y Pierre Malgrange. El objeto perseguido por este artículo consiste en evaluar la aptitud de un modelo VAR, utilizado como una sencilla "caja negra" para la previsión. Los resultados de las evaluationes económicas conducen a adoptar un modelo VAR con relationes de cointegración, evaluado por el método de Johansen. Este modelo incluye las variables siguientes : Pib, consumo, importaciones, exportationes, inversiones. Para los años estudiados, los resultados de este modelo son bastante cercanos unos de otros, para ciertos horizontes, de aquellos efectuados por los organismos de previsión. [ger] Die Verwendung der VAR-Modelle zu Prognosezwecken, von Catherine Doz, Pierre Malgrange. In diesem Artikel soil die Eignung eines als einfacher "schwarzer Kasten" verwandten VAR-Modells zu Prognosezwecken bewertet werden. Die Schätzungsergebnisse führen zu einem VAR-Modell mit Kointegrationsrelationen, das mit Hilfe der Johansen-Methode bewertet wird. Das Modell umfaßt folgende Variablen: BIP, Konsum, Ein- und Ausfuhren sowie die Investitionstätigkeit. Für die untersuchten Jahre entspricht die Leistungsfähigkeit dieses Modells bei bestimmten Zeithorizonten weitgehend der Zuverlässigkeit der von den Prognoseinstituten gemachten Vorhersagen. [eng] Using VAR Models for Forecasting, by Catherine Doz and Pierre Malgrange. The goal of this article is to evaluate the forecasting ability of a VAR model used as a simple "black box". The products of the estimations result in the selection of a VAR model with cointegration relations, as estimated by the Johansen method. It includes the following variables: GDP, consumption, imports, exports and investment. For the years studied and for certain outlooks, the performances of this model are fairly similar to those carried out by forecasting bodies.

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Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 106 (1992)
Issue (Month): 5 ()
Pages: 109-122

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1992_num_106_5_5319
Note: DOI:10.3406/ecop.1992.5319
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  1. P. C. B. Phillips & S. N. Durlauf, 1986. "Multiple Time Series Regression with Integrated Processes," Review of Economic Studies, Oxford University Press, vol. 53(4), pages 473-495.
  2. Peter C.B. Phillips & Peter Schmidt, 1989. "Testing for a Unit Root in the Presence of Deterministic Trends," Cowles Foundation Discussion Papers 933, Cowles Foundation for Research in Economics, Yale University.
  3. Katarina Juselius, 1990. "Long-run Relations in a Well Defined Statistical Model for the Data Generating Process. Cointegration Analysis of the PPP and the UIP Relations," Discussion Papers 90-11, University of Copenhagen. Department of Economics.
  4. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
  5. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
  6. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
  7. Engle, R.F. & Yoo, B.S., 1989. "Cointegrated Economic Time Series: A Survey With New Results," Papers 8-89-13, Pennsylvania State - Department of Economics.
  8. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
  9. Wallis, Kenneth F, 1989. "Macroeconomic Forecasting: A Survey," Economic Journal, Royal Economic Society, vol. 99(394), pages 28-61, March.
  10. Johansen, Soren, 1988. "Statistical analysis of cointegration vectors," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 231-254.
  11. Cooley, Thomas F. & Leroy, Stephen F., 1985. "Atheoretical macroeconometrics: A critique," Journal of Monetary Economics, Elsevier, vol. 16(3), pages 283-308, November.
  12. LeSage, James P, 1990. "A Comparison of the Forecasting Ability of ECM and VAR Models," The Review of Economics and Statistics, MIT Press, vol. 72(4), pages 664-671, November.
  13. Søren Johansen & Katarina Juselius, 1988. "Hypothesis Testing for Cointegration Vectors: with Application to the Demand for Money in Denmark and Finland," Discussion Papers 88-05, University of Copenhagen. Department of Economics.
  14. Gregoir, Stéphane & Laroque, Guy, 1993. "Multivariate Time Series: A Polynomial Error Correction Representation Theorem," Econometric Theory, Cambridge University Press, vol. 9(03), pages 329-342, June.
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