Article ID: | iaor1999708 |
Country: | Netherlands |
Volume: | 14 |
Issue: | 2 |
Start Page Number: | 187 |
End Page Number: | 198 |
Publication Date: | Apr 1998 |
Journal: | International Journal of Forecasting |
Authors: | Dhrymes Phoebus J., Thomakos Dimitrios D. |
Keywords: | forecasting: applications |
In this paper we examine a number of issues in the context of structural VAR and MARMA open economy macro models. In particular, we examine whether VAR or MARMA is the more appropriate specification; whether expectations are forward or backward looking, and whether a number of restrictions imposed on such models are supported by empirical evidence. Prior restrictions are imposed by means of Lagrange multipliers, which makes many of the tests noted above routine.