A ranking of VAR and structural models in forecasting

El Mostafa Bentour

MPRA Paper from University Library of Munich, Germany

Abstract: This paper ranks economic forecasts performances for two structural models against a benchmark of time series models, VAR and ARIMA, according to a set of statistical measures calculated for the main economic aggregates. The period of analysis covers twenty years for annual data (1985-2004) and 28 quarters for quarterly models (1998:1-2004:4). Furthermore, models are tested to see whether predictions contain additional information more than the one showed by a random walk process (Fair-Shiller, 1987). Results show a net supremacy of VAR models over structural models and have significant contribution to information than the one contained in the random walk process.

Keywords: Random Walk; Structural models; Theil Criterion; VAR models (search for similar items in EconPapers)
JEL-codes: C18 C32 C53 (search for similar items in EconPapers)
Date: 2015-01-15
New Economics Papers: this item is included in nep-for
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:61502

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