TWO QUANTITATIVE FORECASTING METHODS FOR MACROECONOMIC INDICATORS IN CZECH REPUBLIC

Mihaela Simionescu

Annals of Spiru Haret University, Economic Series, 2012, vol. 3, issue 1, 71-87

Abstract: Econometric modelling and exponential smoothing techniques are two quantitative forecasting methods with good results in practice, but the objective of the research was to find out which of the two techniques are better for short run predictions. Therefore, for inflation, unemployment and interest rate in Czech Republic some accuracy indicators were calculated for the predictions based on these methods. Short run forecasts on a horizon of 3 months were made for December 2011-February 2012, the econometric models being updated. For Czech Republic, the exponential smoothing techniques provided more accurate forecasts than the econometric models (VAR(2) models, ARMA procedure and models with lagged variables). One explication for the better performance of smoothing techniques would be that in the chosen countries the short run predictions more influenced by the recent evolution of the indicators.

Keywords: accuracy; econometric models; forecasts; forecasting methods; smoothing exponential techniques (search for similar items in EconPapers)
JEL-codes: C51 C53 E21 E27 (search for similar items in EconPapers)
Date: 2012
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