VARMA versus VAR for Macroeconomic Forecasting
نویسندگان
چکیده
منابع مشابه
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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ژورنال
عنوان ژورنال: Journal of Business & Economic Statistics
سال: 2008
ISSN: 0735-0015,1537-2707
DOI: 10.1198/073500107000000313