Forecasting Accuracy of a Multi-Country Macroeconometric Model for the Former Yugoslavia

In this paper, the forecasting performance of a structural multi-country model for Slovenia, Serbia, Croatia and Bosnia and Herzegovina is compared to the forecasting ability of ARMA and VAR models. It turns out that in many cases the time series approaches deliver more accurate predictions of econo...

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Bibliographic Details
Published in:Estudios de economía aplicada 2015-05, Vol.33 (2), p.463-486
Main Author: WEYERSTRASS, KLAUS
Format: Article
Language:English
Subjects:
capacidad predictiva
Economic forecasting
Economic models
Forecasting
Forecasting Performance
Forecasting techniques
Modelos de series temporales
Modelos macroeconómicos estructurales
Predicción
Structural Macroeconometric Models
Time series
Time Series Models
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Summary:In this paper, the forecasting performance of a structural multi-country model for Slovenia, Serbia, Croatia and Bosnia and Herzegovina is compared to the forecasting ability of ARMA and VAR models. It turns out that in many cases the time series approaches deliver more accurate predictions of economic growth, inflation and the unemploy¬ment rate than the structural model which is based both on economic theory and on time series for the included countries. This shows that it is not so easy to beat time series models in forecasting. However, the usefulness of structural models should not be evaluated on the basis of their forecasting performance alone, since these models can in addition be used to investigate the macroeconomic effects of policy measures or of exogenous shocks.
ISSN:1133-3197
1697-5731
1697-5731