Comparison of Box-Jenkins and Bonn Monetary Model Prediction Performance

1. Introduction -- 2. Bonn econometric model of German economy -- 3. ARIMA models for fifteen endogenous variables of the BNM model -- 4. Analysis of sample period lead 1 forecast errors -- 5. Bates-Granger composite forecast and its application in evaluating econometric model -- 6. Analysis of post-sample lead 1 forecast errors -- 7. Causal relationships between selected economic variables -- 7.1 Granger’s definition of causality and its characterization -- 7.2 Detection of causality: Pierce’s broad tests -- 7.3 Causal relationships between the selected monetary variables of the BNM model -- 7.4 Progressive ?2 tests for detecting causality -- 7.5 Causal relationships between short-term interest rate, 90-day money rate Frankfurt, and other selected variables -- Glossary of abbreviations used in BNM model.