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A ranking of VAR and structural models in forecasting

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  • Bentour, El Mostafa

Abstract

This paper ranks economic forecasts performances for two structural models against a benchmark of time series models, VAR and ARIMA, according to a set of statistical measures calculated for the main economic aggregates. The period of analysis covers twenty years for annual data (1985-2004) and 28 quarters for quarterly models (1998:1-2004:4). Furthermore, models are tested to see whether predictions contain additional information more than the one showed by a random walk process (Fair-Shiller, 1987). Results show a net supremacy of VAR models over structural models and have significant contribution to information than the one contained in the random walk process.

Suggested Citation

  • Bentour, El Mostafa, 2015. "A ranking of VAR and structural models in forecasting," MPRA Paper 61502, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:61502
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    References listed on IDEAS

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    5. Davydenko, Andrey & Fildes, Robert, 2013. "Measuring forecasting accuracy: The case of judgmental adjustments to SKU-level demand forecasts," International Journal of Forecasting, Elsevier, vol. 29(3), pages 510-522.
    6. Jorgenson, Dale W & Hunter, Jerald & Nadiri, M Ishaq, 1970. "The Predictive Performance of Econometric Models of Qtrly Investment Behavior," Econometrica, Econometric Society, vol. 38(2), pages 213-224, March.
    7. Wolfgang Polasek, 2013. "Forecast Evaluations for Multiple Time Series: A Generalized Theil Decomposition," Working Paper series 23_13, Rimini Centre for Economic Analysis.
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    10. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
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    Cited by:

    1. Lawrence MASHIMBYE & Ashenafi Beyene FANTA, 2021. "Trade Openness And Economic Growth In Mozambique," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 21(2), pages 37-52.

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    More about this item

    Keywords

    Random Walk; Structural models; Theil Criterion; VAR models;
    All these keywords.

    JEL classification:

    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: 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; State Space Models
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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