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Forecasting Romanian GDP Using a BVAR Model
Caraiani, Petre - In: Journal for Economic Forecasting (2010) 4, pp. 76-87
several versions of Bayesian VARs and compare them in terms of forecasting statistics with two standard models, the OLS and … standard models. The best BVAR model is used for forecasting quarterly GDP in the short run. The results show that the recovery …
Persistent link: https://www.econbiz.de/10008784887
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Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data
Matei, Marius - In: Journal for Economic Forecasting (2011) 2, pp. 116-141
The current work undertakes an overview of the forecasting volatility with high frequency data topic, attempting to … explains why forecasting of volatility is more effective when the model contains a measure of intraday data. A discrete and a … is considered. Details on procedures employed in the literature with respect to modeling and forecasting using realized …
Persistent link: https://www.econbiz.de/10009151358
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Nonlinearity, Volatility and Fractional Integration in Daily Oil Prices: Smooth Transition Autoregressive ST-FI(AP)GARCH Models
Bildirici, Melike; Ersin, Özgür Ömer - In: Journal for Economic Forecasting (2014) 3, pp. 108-135
. Models are evaluated in terms of their out-of-sample forecasting capabilities with equal forecast accuracy tests and also in …. Further, the outof- sample results suggest that the LSTAR-LST-FIAPGARCH model provides the best forecasting accuracy in terms …
Persistent link: https://www.econbiz.de/10010938020
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SPURIOUS REGRESSION AND COINTEGRATION. NUMERICAL EXAMPLE: ROMANIA’S M2 MONEY DEMAND
Ruxanda, Gheorghe; Botezatu, Andreea - In: Journal for Economic Forecasting 5 (2008) 3, pp. 51-62
Economic time series are, in their vast majority, integrated series so, their modelling procedure stumbles upon the problem of spurious regression. When existent, cointegration is the simplest way of eliminating the illogical correlation established between time series due to the presence of...
Persistent link: https://www.econbiz.de/10005772652
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Structural Breaks, Electricity Consumption and Economic Growth: Evidence from Turkey
Acaravici, Ali - In: Journal for Economic Forecasting (2010) 2, pp. 140-154
This paper investigates the short-run and long-run causality issues between electricity consumption and economic growth in Turkey by using the co-integration and vector error-correction models with structural breaks. It employs annual data covering the period 1968–2005. The study also explores...
Persistent link: https://www.econbiz.de/10008492977
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Updating the Romanian Economic Macromodel
Dobrescu, Emilian - In: Journal for Economic Forecasting (2013) 4, pp. 5-31
. Some supplementary requests of the government agencies which use this forecasting tool were also included. The first …
Persistent link: https://www.econbiz.de/10010734660
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Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts
Dobrescu, Emilian - In: Journal for Economic Forecasting (2014) 4, pp. 5-21
Based on the 2012 Version of the Romanian Macromodel, the first section of this paper discusses the evolution of the Romanian economy in 2014. The previous simulations were revised taking into account the changes in the internal and external socio-economic conjuncture or in the available...
Persistent link: https://www.econbiz.de/10011122630
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Sectoral Structure and Economic Growth
Dobrescu, Emilian - In: Journal for Economic Forecasting (2011) 3, pp. 5-36
The main goal of the present work is to reveal the advantages of introducing the socalled structural coefficient (SC) into economic analysis. SC is defined as an indicator of the similarity between a given sectoral structure and another, which is admitted as a referential. Consequently, the...
Persistent link: https://www.econbiz.de/10009321270
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AN ANALYSIS OF DOMESTIC AND EXTERNAL SHOCKS ON ROMANIAN ECONOMY USING A DSGE MODEL
Caraiani, Petre - In: Journal for Economic Forecasting 5 (2008) 3, pp. 100-114
In this paper, I study the impact of the domestic and external shocks on the Romanian economy. I use an open economy DSGE model and estimate it for the Romanian economy using Bayesian techniques. The impact of the domestic shocks is moderate but not persistent. The Euro Area demand and interest...
Persistent link: https://www.econbiz.de/10005248492
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Comparing Monetary Policy Rules in the Romanian Economy: A New Keynesian Approach
Caraiani, Petre - In: Journal for Economic Forecasting (2011) 4, pp. 30-46
A New Keynesian model of open economy is estimated and discussed in the case of Romania. The model is estimated using quarterly data on a post-2000 sample. The paper focuses on the monetary policy analysis and compares several specifications for the monetary policy within the Bayesian framework....
Persistent link: https://www.econbiz.de/10010533971