The Use of Varma Models in Forecasting Macroeconomic Indicators

Title: The Use of Varma Models in Forecasting Macroeconomic Indicators
Issue: Vol. 6, No 2, 2013
Published date: 20-11-2013 (print) / 20-11-2013 (online)
Journal: Economics & Sociology
ISSN: 2071-789X, eISSN: 2306-3459
Authors: Mihaela Simionescu
Keywords: macroeconomic forecasts, VARMA models, accuracy, scalar components methodology, full information maximum likelihood, canonical correlation
DOI: 10.14254/2071-789X.2013/6-2/9
Language: English
Pages: 94-102 (9)
JEL classification: C11, C13, C51

Although the scalar components methodology used to build VARMA models is rather difficult, the VAR models application being easier in practice, the forecasts based on the first models have a higher degree of accuracy. This statement is demonstrated for variables like the 3-month Treasury bill rate and SHAPE * MERGEFORMAT the spread between the 10 year government bond yield, where the quarterly data are from the U.S. economy (horizon: first quarter of 2001 – second quarter of 2013). It was used a better measure of accuracy than those used in literature till now, the generalized forecast error of second moment, that was adapted to measure relative accuracy.