Assessing Forecast Performance in a VECM Model: An Empirical Investigation between Public Expenditures and Economic Growth in Greece

Posted: 11 Feb 2004 Last revised: 11 Feb 2022

See all articles by Zacharias Bragoudakis

Zacharias Bragoudakis

Bank of Greece; National and Kapodistrian University of Athens, Department of Economics

Date Written: December 1, 2003

Abstract

This paper is an exercise in applied macroeconomic forecasting. We examine the forecasting power of a vector error-correction model (VECM) that is anchored by a long-run equilibrium relationship between Greek national income and productive public expenditure as suggested by the economic theory. We compare the estimated forecasting values of the endogenous variables to the real-historical values using a stochastic simulation analysis. The simulation results provide new evidence supporting the ability of the model to forecast not only one-period ahead but also many periods into the future.

Keywords: Cointegration, Forecasting, Simulation Analysis, Vector error-correction models

JEL Classification: C15, C32, C53, E0, E6

Suggested Citation

Bragoudakis, Zacharias, Assessing Forecast Performance in a VECM Model: An Empirical Investigation between Public Expenditures and Economic Growth in Greece (December 1, 2003). Available at SSRN: https://ssrn.com/abstract=490822

Zacharias Bragoudakis (Contact Author)

Bank of Greece ( email )

21 E. Venizelos Avenue
GR 102 50 Athens
Greece
+302103203605 (Phone)

National and Kapodistrian University of Athens, Department of Economics ( email )

Sofocleous 1
Athens, 105 59
Greece
+30 21 0368 9400 (Phone)

HOME PAGE: http://www.econ.uoa.gr/

Do you have negative results from your research you’d like to share?

Paper statistics

Abstract Views
1,011
PlumX Metrics