The Use of Varma Models in Forecasting Macroeconomic Indicators

Information
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
DOAJ: https://doaj.org/article/3b5fd070b47e46fcb4cede7ea9d467c6
Language: English
Pages: 94-102 (9)
JEL classification: C11, C13, C51
Website: https://www.economics-sociology.eu/?227,en_the-use-of-varma-models-in-forecasting-macroeconomic-indicators
File http://economics-sociology.eu/files/12_Simionescu_1_7.pdf
Abstract

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.