{"id":115534,"date":"2024-01-22T19:29:56","date_gmt":"2024-01-22T18:29:56","guid":{"rendered":"https:\/\/www.wifo.ac.at\/publication\/115534\/"},"modified":"2024-11-07T04:31:09","modified_gmt":"2024-11-07T03:31:09","slug":"an-evaluation-of-the-forecasting-performance-of-three-econometric-models-for-the-eurozone-and-the-usa","status":"publish","type":"publication","link":"https:\/\/www.wifo.ac.at\/en\/publication\/115534\/","title":{"rendered":"An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA"},"content":{"rendered":"","protected":false},"featured_media":0,"template":"","class_list":["post-115534","publication","type-publication","status-publish","hentry"],"acf":{"subtitle":"","text":"This 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 fourth quarter of 2004 until the first 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 pre-financial crisis period reduces the size of forecast errors but does not change the overall picture.","onlinedate":"2011-08-30 02:00:00","lang":"English","publication_series":"","publication_date":"20110801","publication_date_year":"","publication_date_full":false,"publication_num_pages":"61","keywords":"[]","jelcodes":"[]","related_publications":"[]","pdf":341765,"zip":null,"link":"","monthly_report":true,"monthly_report_main":false,"monthly_report_volume":"","monthly_report_pages":"","monthly_report_pages_sort":"0","issue":"399","journal":"WIFO Working Papers","publisher":"","invisible":false,"external":false,"embargo_date":null,"types":[44410],"research_groups":[3500],"collaboration":"","persons":[15845],"persons_data":"[{\"personId\":15845,\"personName\":\"David Mortimer Krainz\",\"organisationNames\":[]}]","clients":[],"subclients":[],"partners":[],"topics":[],"host_publication_title":"","host_publication_subtitle":"","place_of_publication":"","host_publication_editors":"[]","type_description":"","output_media":"","chapter":"","article_number":"","citations":"{\"apa\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_apa rendering_contributiontoperiodical rendering_apa rendering_contributiontoperiodical_apa\\\">Krainz, D. M. (2011). <span>An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA<\\\/span>. <span><em>WIFO Working Papers<\\\/em><\\\/span>, (399). <a onclick=\\\"window.open(this.href, '_blank','noopener,noreferrer'); return false;\\\" href=\\\"https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/42450\\\" class=\\\"link\\\"><span>https:\\\/\\\/www.wifo.ac.at\\\/wwa\\\/pubid\\\/42450<\\\/span><\\\/a><\\\/div>\",\"vancouver\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_vancouver rendering_contributiontoperiodical rendering_vancouver rendering_contributiontoperiodical_vancouver\\\">Krainz DM. <span class=\\\"title\\\"><span>An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA<\\\/span><\\\/span>. <span>WIFO Working Papers<\\\/span>. 2011 Aug;(399).<\\\/div>\",\"bibtex\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_bibtex rendering_contributiontoperiodical rendering_bibtex rendering_contributiontoperiodical_bibtex\\\"><div>@misc{fc2631bc14bd49e1a6475cc278861d0b,<\\\/div><div>  title    = \\\"An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA\\\",<\\\/div><div>  abstract = \\\"This 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 fourth quarter of 2004 until the first 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 pre-financial crisis period reduces the size of forecast errors but does not change the overall picture.\\\",<\\\/div><div>  keywords = \\\"Eurozone, USA, econometric models, forecasting performance\\\",<\\\/div><div>  author   = \\\"Krainz, \\\\{David Mortimer\\\\}\\\",<\\\/div><div>  year     = \\\"2011\\\",<\\\/div><div>  month    = aug,<\\\/div><div>  language = \\\"English\\\",<\\\/div><div>  journal  = \\\"WIFO Working Papers\\\",<\\\/div><p>}<\\\/p><\\\/div>\",\"ris\":\"<div class=\\\"rendering rendering_researchoutput  rendering_researchoutput_ris rendering_contributiontoperiodical rendering_ris rendering_contributiontoperiodical_ris\\\"><p>TY  - GEN<\\\/p><p>T1  - An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA<\\\/p><p>AU  - Krainz, David Mortimer<\\\/p><p>PY  - 2011\\\/8<\\\/p><p>Y1  - 2011\\\/8<\\\/p><p>N2  - This 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 fourth quarter of 2004 until the first 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 pre-financial crisis period reduces the size of forecast errors but does not change the overall picture.<\\\/p><p>AB  - This 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 fourth quarter of 2004 until the first 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 pre-financial crisis period reduces the size of forecast errors but does not change the overall picture.<\\\/p><p>KW  - Eurozone<\\\/p><p>KW  -  USA<\\\/p><p>KW  -  econometric models<\\\/p><p>KW  -  forecasting performance<\\\/p><p>M3  - WIFO series<\\\/p><p>JO  - WIFO Working Papers<\\\/p><p>JF  - WIFO Working Papers<\\\/p><p>ER  - <\\\/p><\\\/div>\"}","scientific_assistance":"[]","scientific_review":"[]","version":"","release_date":null,"expiration_date":null,"surveyor":"","research_assistance":"","edv":"","additional_info_de":"","additional_info_en":""},"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v28.3 (Yoast SEO v28.3) - https:\/\/yoast.com\/product\/yoast-seo-premium-wordpress\/ -->\n<title>An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA - WIFO<\/title>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, max-video-preview:-1\" \/>\n<link rel=\"canonical\" href=\"https:\/\/www.wifo.ac.at\/en\/publication\/115534\/\" \/>\n<meta property=\"og:locale\" content=\"en_US\" \/>\n<meta property=\"og:type\" content=\"article\" \/>\n<meta property=\"og:title\" content=\"An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA\" \/>\n<meta property=\"og:url\" content=\"https:\/\/www.wifo.ac.at\/en\/publication\/115534\/\" \/>\n<meta property=\"og:site_name\" content=\"WIFO\" \/>\n<meta property=\"article:publisher\" content=\"https:\/\/www.facebook.com\/WIFOat\/\" \/>\n<meta property=\"article:modified_time\" content=\"2024-11-07T03:31:09+00:00\" \/>\n<meta property=\"og:image\" content=\"https:\/\/www.wifo.ac.at\/wp-content\/uploads\/2024\/05\/WIFO-Gebaeude-FotoAlexanderMueller-www.alexandermueller.at-IMG_6326-Bearbeitet-1.jpg\" \/>\n\t<meta property=\"og:image:width\" content=\"1920\" \/>\n\t<meta property=\"og:image:height\" content=\"1280\" \/>\n\t<meta property=\"og:image:type\" content=\"image\/jpeg\" \/>\n<meta name=\"twitter:card\" content=\"summary_large_image\" \/>\n<meta name=\"twitter:site\" content=\"@WIFOat\" \/>\n<script type=\"application\/ld+json\" class=\"yoast-schema-graph\">{\"@context\":\"https:\\\/\\\/schema.org\",\"@graph\":[{\"@type\":\"WebPage\",\"@id\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/115534\\\/\",\"url\":\"https:\\\/\\\/www.wifo.ac.at\\\/en\\\/publication\\\/115534\\\/\",\"name\":\"An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA - 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