TY - JOUR
T1 - VARMA versus VAR for macroeconomic forecasting
AU - Athanasopoulos, George
AU - Vahid, Farshid
PY - 2008/4
Y1 - 2008/4
N2 - In this article, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to vector autoregressive (VAR) models, given the recent advances in vector autoregressive moving average (VARMA) modeling methodology and improvements in computing power. To support this claim, we use real macroeconomic data, and show that VARMA models forecast macroeconomic variables more accurately than VARs.
AB - In this article, we argue that there is no compelling reason for restricting the class of multivariate models considered for macroeconomic forecasting to vector autoregressive (VAR) models, given the recent advances in vector autoregressive moving average (VARMA) modeling methodology and improvements in computing power. To support this claim, we use real macroeconomic data, and show that VARMA models forecast macroeconomic variables more accurately than VARs.
KW - Identification
KW - Multivariate time series
KW - Scalar components
KW - VARMA models
UR - http://www.scopus.com/inward/record.url?scp=41649104111&partnerID=8YFLogxK
U2 - 10.1198/073500107000000313
DO - 10.1198/073500107000000313
M3 - Article
SN - 0735-0015
VL - 26
SP - 237
EP - 252
JO - Journal of Business and Economic Statistics
JF - Journal of Business and Economic Statistics
IS - 2
ER -