Add to ORKGThis paper compares the forecasting performance of three different econometric models for the Eurozone and the USA: A vector auto regression (VAR), a Bayesian vector auto regression (BVAR), and a structural vector error correction model (SVEC). The forecast evaluation is based on 19 vintages of real time data for output, inflation rates, interest rates, the exchange rate and the money stock from the 4th quarter of 2004 until the the 1st quarter of 2010. The oil price is used as the only exogenous variable in the model. Imposing a stringent set of long-run assumptions on the econometric model results in less accurate forecasts. The difference is significant for several variables and forecast horizons. Reducing the comparison to data from the...
Forecasting the changes of oil prices is of critical importance for authorities and plays a signific...
The purpose of this paper is to evaluate the accuracy of ex ante econometric model forecasts of four...
Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, y...
This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive ...
This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for G...
This thesis aims to out-of-sample forecast the USD/EUR exchange rate using four macroeconomic variab...
Abstract. This paper analyzes the forecasting performance of an open economy DSGE model, estimated w...
In the past, a lot of studies about the comparison of exchange rate forecasting models have been car...
After reviewing the history of analyses of economic forecasting, the role of econometrics in improvi...
After reviewing the history of analyses of economic forecasting, the role of econometrics in improvi...
Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest...
Several recent articles have used vector autore-gressive (VAR) models to forecast national and regio...
We compare the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bay...
Forecasting is an important tool for management, planning and administration in various fields. In t...
The application of Vector Autoregressive (VAR) models to macroeconomic forecasting problems was sugg...
Forecasting the changes of oil prices is of critical importance for authorities and plays a signific...
The purpose of this paper is to evaluate the accuracy of ex ante econometric model forecasts of four...
Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, y...
This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive ...
This paper examines the forecast accuracy of an unrestricted Vector Autoregressive (VAR) model for G...
This thesis aims to out-of-sample forecast the USD/EUR exchange rate using four macroeconomic variab...
Abstract. This paper analyzes the forecasting performance of an open economy DSGE model, estimated w...
In the past, a lot of studies about the comparison of exchange rate forecasting models have been car...
After reviewing the history of analyses of economic forecasting, the role of econometrics in improvi...
After reviewing the history of analyses of economic forecasting, the role of econometrics in improvi...
Small-scale VARs are widely used in macroeconomics for forecasting U.S. output, prices, and interest...
Several recent articles have used vector autore-gressive (VAR) models to forecast national and regio...
We compare the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bay...
Forecasting is an important tool for management, planning and administration in various fields. In t...
The application of Vector Autoregressive (VAR) models to macroeconomic forecasting problems was sugg...
Forecasting the changes of oil prices is of critical importance for authorities and plays a signific...
The purpose of this paper is to evaluate the accuracy of ex ante econometric model forecasts of four...
Standard VAR and Bayesian VAR models are proven to be reliable tools for modeling and forecasting, y...