ARMAX AND VAR ECONOMETRIC METHODOLOGIESAPPLIED TO TOTAL TAX COLLECTION IN THE STATE OF GOIÃ S: A PREDICTIVE ACCURACY ANALYSIS

Flávio Henrique de Sarmento Seixas () and Cleomar Gomes Da Silva
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Flávio Henrique de Sarmento Seixas: Centro Universitário Alves Faria (UNIALFA)

Revista de Economia Mackenzie (REM), 2019, vol. 16, issue 1, 105-132

Abstract: This paper aims to evaluate if the ARMAX econometric methodology offers predictive accuracy superior to the Autoregressive Vectors (VAR) methodology to estimate the Total Revenue free of extraordinary effects of the State of Goiás. The period analyzed is from January 2003 to December 2015 and, in both methodologies, the models with better adjustments identified the variable Formal Employment Level as statistically significant. The main predictive accuracy indicators for the year 2015, the Mean Absolute Percentage Error (MAPE), resulted in 1.70% for the best model of the ARMAX methodology and 3.11% for the correspondent VAR, results corroborated by the indicator of Square Root of Mean Squared Errors (RMSE), pointing to the ARMAX methodology as superior performance to the last one on this important aspect.

Keywords: State total revenue; ARMAX; Autoregressive vectors. (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:aft:journl:v:16:1:2019:jan:jun:p:105-132

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