文章基本信息

标题：The Use of Varma Models in Forecasting Macroeconomic Indicators
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作者：Mihaela Simionescu
期刊名称：Economics & Sociology (Ternopil)
印刷版ISSN：2071-789X
电子版ISSN：2306-3459
出版年度：2013
卷号：6
期号：2
DOI：10.14254/2071-789X.2013/6-2/9
出版社：Centre of Sociological Research
摘要：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
关键词：macroeconomic forecasts; VARMA models; accuracy; scalar components methodology; full information maximum likelihood; canonical correlation.