Martin, Florian, Crespo Cuaresma, Jesus. 2017. Weighting Schemes in Global VAR Modelling: A Forecasting Exercise. Letters in Spatial and Resource Sciences, 10 (1), 45-56.
BibTeX
Abstract
We provide a comprehensive analysis of the out-of-sample predictive accuracy of different global vector autoregressive (GVAR) specifications based on alternative weighting schemes to address global spillovers across countries. In addition to weights based on bilateral trade, we entertain schemes based on different financial variables and geodesic distance. Our results indicate that models based on trade weights, which are standard in the literature, are systematically outperformed in terms of predictive accuracy by other specifications. We find that, while information on financial linkages helps improve the forecasting accuracy of GVAR models, averaging predictions by means of simple predictive likelihood weighting does not appear to systematically lead to lower forecast errors.
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Status of publication | Published |
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Affiliation | WU |
Type of publication | Journal article |
Journal | Letters in Spatial and Resource Sciences |
Language | English |
Title | Weighting Schemes in Global VAR Modelling: A Forecasting Exercise |
Volume | 10 |
Number | 1 |
Year | 2017 |
Page from | 45 |
Page to | 56 |
Reviewed? | Y |
URL | http://link.springer.com/article/10.1007/s12076-016-0170-x |
DOI | http://dx.doi.org/10.1007/s12076-016-0170-x |
Associations
- People
- Martin, Florian (Former researcher)
- Crespo Cuaresma, Jesus (Details)
- Organization
- Department of Economics (Crespo Cuaresma) (Details)
- Institute for Economic Geography and GIScience IN (Details)
- Research Institute for Human Capital and Development FI (Former organization)