IDEAS home Printed from
   My bibliography  Save this article

Forecasting Based On Open Var Model


  • Pecican, Eugen St.

    (Department of Statistics and Econometrics, The Academy of Economic Studies, Bucharest)


Considering as a starting point certain advantages and limits of the VAR model, we propose an opening to include some approaches suggested particularly by economic theory, such as economic policy role and that concerning corrections applied to restore an equilibrium state or a forecast error. In order to improve the forecasting quality we introduced in the VAR model certain variables that express previous approaches. The open VAR model was applied to short-time prognoses regarding the main prices in economy (consumer price index, exchange rate, monthly wage, interest rate).

Suggested Citation

  • Pecican, Eugen St., 2010. "Forecasting Based On Open Var Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 59-69, March.
  • Handle: RePEc:rjr:romjef:v::y:2010:i:1:p:59-69

    Download full text from publisher

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Claudio Borio, 2008. "The financial turmoil of 2007-?: a preliminary assessment and some policy considerations," BIS Working Papers 251, Bank for International Settlements.
    2. Besancenot, Damien & Vranceanu, Radu, 2005. "Socially Efficient Managerial Dishonesty," ESSEC Working Papers DR 05005, ESSEC Research Center, ESSEC Business School.
    3. Rochet, Jean-Charles & Tirole, Jean, 1996. "Interbank Lending and Systemic Risk," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(4), pages 733-762, November.
    4. Tito Cordella & Eduardo Levy Yeyati, 1998. "Public Disclosure and Bank Failures," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 110-131, March.
    5. repec:bla:joares:v:34:y:1996:i:1:p:1-22 is not listed on IDEAS
    6. Altman, Edward I, 1984. " A Further Empirical Investigation of the Bankruptcy Cost Question," Journal of Finance, American Finance Association, vol. 39(4), pages 1067-1089, September.
    7. Diamond, Douglas W & Verrecchia, Robert E, 1991. " Disclosure, Liquidity, and the Cost of Capital," Journal of Finance, American Finance Association, vol. 46(4), pages 1325-1359, September.
    8. repec:bla:joares:v:34:y:1996:i::p:51-74 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    More about this item


    interdependence; autoregressive; simultaneous equations model; structural form; reduce form; lagged variables; error correction; test; ex-post forecast; system; intercept parameter; qualitative variable;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods


    Access and download statistics


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:rjr:romjef:v::y:2010:i:1:p:59-69. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Corina Saman). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.