Forecasting Based On Open Var Model

Eugen St. Pecican
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Eugen St. Pecican: Department of Statistics and Econometrics, The Academy of Economic Studies, Bucharest

Journal for Economic Forecasting, 2010, issue 1, 59-69

Abstract: Considering as a starting point certain advantages and limits of the VAR model, we propose an opening to include some approaches suggested particularly by economic theory, such as economic policy role and that concerning corrections applied to restore an equilibrium state or a forecast error. In order to improve the forecasting quality we introduced in the VAR model certain variables that express previous approaches. The open VAR model was applied to short-time prognoses regarding the main prices in economy (consumer price index, exchange rate, monthly wage, interest rate).

Keywords: interdependence; autoregressive; simultaneous equations model; structural form; reduce form; lagged variables; error correction; test; ex-post forecast; system; intercept parameter; qualitative variable (search for similar items in EconPapers)
JEL-codes: C32 C53 (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (6)

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