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VARMA versus VAR for macroeconomic forecasting

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journal contribution
posted on 05.06.2017, 01:40 by Athanasopoulos, George, Vahid, Farshid
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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2006

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Department of Econometrics and Business Statistics

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