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VARMA versus VAR for Macroeconomic Forecasting

Athanasopoulos, George; Vahid, Farshid


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.

CollectionsANU Research Publications
Date published: 2008
Type: Journal article
Source: Journal of Business and Economic Statistics
DOI: 10.1198/073500107000000313


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