Econometric Models or Smoothing Exponential Techniques to Predict Macroeconomic Indicators in Romania

Mihaela Bratu
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Mihaela Bratu: Faculty of Cybernetics, Statistics and Economic Informatics, Bucharest, Romania

Zagreb International Review of Economics and Business, 2012, vol. 15, issue 2, 87-100

Abstract: Inflation rate, unemployment rate and interest rate are some of the most important indicators used at macroeconomic level. These variables present an important interest for the central banks that establish the monetary policy (infl ation target), but also for the government interested in public policies. Macroeconometric modeling offers the advantage of using more models to describe the evolution of a single variable and also the advantage of predicting it. But it is important to choose the forecast with the higher degree of accuracy. Calculating some indicators of accuracy we may know the best forecast that will be used to establish the macroeconomic policies. For the interest rate and unemployment rate in Romania VAR(2) models generated more accurate forecasts than ARMA models or models with lags. For the infl ation rate the model with lag, which is consistent with Granger causality, determined the most accurate forecasts. The predictions based on all these models are better than those got using smoothing exponential techniques.

Keywords: forecasts; accuracy; econometric models; 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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