VARMA versus VAR for Macroeconomic Forecasting

In this paper, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to VARs given the recent advances in VARMA modelling methodology and improvements in computing power. To support this claim, we use real macroeconomic data and show that VARMA models forecast macroeconomic variables more accurately than VAR models.

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Year of publication:	2006-01
Authors:	Athanasopoulos, George ; Vahid, Farshid
Institutions:	Department of Econometrics and Business Statistics, Monash Business School
Subject:	Forecasting \| Identification \| Multivariate time series \| Scalar components \| VARMA models

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Extent:	application/pdf
Series:	Monash Econometrics and Business Statistics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 4/06 21 pages
Classification:	C32 - Time-Series Models ; C51 - Model Construction and Estimation
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005087575