Assessing Forecast Performance in a VEC Model: An Empirical Examination

Zacharias Bragoudakis ()

Econometrics from University Library of Munich, Germany

Abstract: This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the real-historical values using a stochastic simulation analysis. The simulation results provide new evidence supporting the ability of the model to forecast not only one-period ahead but also many periods into the future. Keywords: Cointegration, Forecasting, Simulation Analysis, Vector error- correction models JEL Classifications: C15, C32, C53, E0, E6 Working Paper Series

Keywords: Cointegration; Forecasting; Simulation Analysis; Vector error- correction models (search for similar items in EconPapers)
JEL-codes: C1 C2 C3 C4 C5 C8 (search for similar items in EconPapers)
Pages: 15 pages
Date: 2005-02-09
New Economics Papers: this item is included in nep-ecm and nep-ets
Note: Type of Document - pdf; pages: 15
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpem:0502007

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