Vector-Autoregression Approach to Forecast Italian Imports

Imports represent a relevant component of total economic resources. For the Italian case, they mainly consist of raw materials and intermediate goods. In this paper, we evaluate several econometric models performing shorthorizon forecasts of Italian imports of goods. Year-to-year growth rate of the monthly seasonally unadjusted series is the variable to predict. VAR forecasting ability has been compared to that of a linear univariate benchmark (ARIMA) model. Main forecast diagnostics have been presented. Finally, we perform two types of forecast encompassing tests (Diebold-Mariano, 1995; Fair-Shiller, 1990) for which we present main results.