Vector-Autoregression Approach to Forecast Italian Imports

Carmine Pappalardo () and Gianfranco Piras
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Carmine Pappalardo: ISAE - Institute for Studies and Economic Analyses

No 42, ISAE Working Papers from ISTAT - Italian National Institute of Statistics - (Rome, ITALY)

Abstract: Imports represent a relevant component of total economic resources. For the Italian case, they mainly consist of raw materials and intermediate goods. In this paper, we evaluate several econometric models performing shorthorizon forecasts of Italian imports of goods. Year-to-year growth rate of the monthly seasonally unadjusted series is the variable to predict. VAR forecasting ability has been compared to that of a linear univariate benchmark (ARIMA) model. Main forecast diagnostics have been presented. Finally, we perform two types of forecast encompassing tests (Diebold-Mariano, 1995; Fair-Shiller, 1990) for which we present main results.

Keywords: Forecasting; VAR model; Import; Forecast evaluation. (search for similar items in EconPapers)
JEL-codes: C32 C52 C53 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2004-02
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:isa:wpaper:42

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