PREDICTABILITY AND COMPLEXITY IN MACROECONOMICS. THE CASE OF GROSS FIXED CAPITAL FORMATION IN THE ROMANIAN ECONOMY

Cornelia Scutaru (), Corina Saman () and Cristian Stanica ()
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Corina Saman: Institute of Economic Forecasting, Romanian Academy
Cristian Stanica: Institute of Economic Forecasting, Romanian Academy

Journal for Economic Forecasting, 2008, vol. 5, issue 4, pages 196-205

Abstract: There is a relationship between predictability and complexity. The problem of evaluating the complexity of the macroeconomic phenomenon can be reduced to decomposition into its principal components (which may have, in their turn, a certain degree of complexity) and to identify its common sources of evolution that are predictable. In this paper, we evaluate the predictability of economic indicators and continue with its decomposition until the simplest sources allowed by available statistical data are obtained, then use this predictable sources to construct a forecasting model.

Keywords: predictability; complexity; principal components; consumption; investment; foreign trade; time series forecasting (search for similar items in EconPapers)
JEL-codes: E20 E27 C22 C51 (search for similar items in EconPapers)
Date: 2008
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Persistent link: http://EconPapers.repec.org/RePEc:rjr:romjef:v:5:y:2008:i:4:p:196-205

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