Romanian Review of Social Sciences

Universitatea Nicolae Titulescu

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GetInfo - German National Library of Science and Technology

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WZB – Social Science Research Center (Berlin)

Index Copernicus

New Jour Catalog (Georgetown Library)

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ISSN

2284 - 547X

ISSN-L

2284 - 547X

EDITOR

Dan Velicu
Nicolae Titulescu University

A STRATEGY TO IMPROVE THE FORECASTS BASED ON VAR MODELS USING HODRICK-PRESCOTT FILTER

RRSS 2013 No.5 - Romanian Review of Social Sciences

  1. Authors:
      • Mihaela Simionescu

  2. Keywords: forecasts, accuracy, VAR models, Hodrick-Prescott filter

  3. Abstract:
    The main goal of this research is to find a suitable strategy to improve the accuracy of predictions based on a VARmodel. The forecasts of annual inflation and unemployment rate made for Romania on the horizon 2010-2012 using a VAR(1) model were improved by proposing new predictions based on a VAR(2) model. But, in this last case the VAR(2) models used differentiated data series for inflation and unemployment rate that were smoothed using Hodrick-Prescott filter. However, the naïve forecasts based on random walk model provided more accurate predictions for both variables.

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