Contents
Measuring forecasting accuracy of the macroeconomic system / 박동규 1
Abstract 1
I. Introduction 1
II. Descriptions of Econometric Forecasting Models: VAR, BVAR, and VEC Models 3
1. Forecasting with Vector Autoregressive Models 3
2. Forecasting with Bayesian Vector Autoregressive Models 5
3. Forecasting with Vector Error Correction Model 8
III. Empirical Results of Forecasting Models 10
1. Data Descriptions 10
2. Forecasting Models 10
3. Measuring Forecasting Accuracy 11
4. Comparing Information in Forecasts 15
IV. Concluding Remarks 19
References 21