A ranking of VAR and structural models in forecasting

Bentour, El Mostafa (2015): A ranking of VAR and structural models in forecasting.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: Random Walk, Structural models, Theil Criterion, VAR models
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C18 - Methodological Issues: General; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C32 - Time-Series Models ; Dynamic Quantile Regressions ; Dynamic Treatment Effect Models ; Diffusion Processes ; State Space Models; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C53 - Forecasting and Prediction Methods ; Simulation Methods

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