M. N. Bhattacharyya

Comparison of Box-Jenkins and Bonn Monetary Model Predition Performance (eBook, PDF)

• Format: PDF

Produktdetails

• Verlag: Springer Berlin Heidelberg
• Seitenzahl: 146
• Erscheinungstermin: 6. Dezember 2012
• Englisch
• ISBN-13: 9783642464218
• Artikelnr.: 53396777

Inhaltsangabe

1. Introduction.- 2. Bonn econometric model of German economy.- 3. ARIMA models for fifteen endogenous variables of the BNM model.- 4. Analysis of sample period lead 1 forecast errors.- 5. Bates-Granger composite forecast and its application in evaluating econometric model.- 6. Analysis of post-sample lead 1 forecast errors.- 7. Causal relationships between selected economic variables.- 7.1 Granger's definition of causality and its characterization.- 7.2 Detection of causality: Pierce's broad tests.- 7.3 Causal relationships between the selected monetary variables of the BNM model.- 7.4 Progressive ?2 tests for detecting causality.- 7.5 Causal relationships between short-term interest rate, 90-day money rate Frankfurt, and other selected variables.- Glossary of abbreviations used in BNM model.