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comparison of box-jenkins and bonn monetary model predition performance
M. N. Bhattacharyya
(Author)
·
Springer
· Paperback
comparison of box-jenkins and bonn monetary model predition performance - Bhattacharyya, M. N.
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Synopsis "comparison of box-jenkins and bonn monetary model predition performance"
The purpose of the present study is to evaluate the predictive performance of an earlier version of the Bonn .. Monetary Hodel ("Ein Okonometrisches Vierteljahresmodell des Geld- und Kreditsektors fur die Bundesrepublik Deutsch- land", by Jorn Martiensen (1975), Heisenheim, Verlag Anton Hain) against the benchmark provided by the Box-Jenkins univariate autoregressive-integrated moving average, ARI ffi, model. Similar studies aimed at evaluating the predictive performance of the econometric models of the Horti, American economies:, ad been reported earlier. But to the best of my knowledge, no suc;, works, at least up to the time, early 1976 when I took up the present investigation, had been done with any of the European econometric mbdels, except Prothero and Wallis (1976), discussed in the introduction to the present book. The previous studies of this type generated plenty of unconstructive and sometimes unpleasant dialogues. Neither do I appreciate the over-reaction of the eco- metricians when an econometric model is evaluated nor do I appreciate when it is said that econometrics is withering. According to my opinion, econometric model building is a great experimentation and univariate time series models are not expected to be substitutes for econometric models.
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