Comparison of Box-Jenkins and Bonn Monetary Model Predition Performance

Inhaltsverzeichnis

• 1. Introduction.
• 2. Bonn econometric model of German economy.
• 3. ARIMA models for fifteen endogenous variables of the BNM model.
• 4. Analysis of sample period lead 1 forecast errors.
• 5. Bates-Granger composite forecast and its application in evaluating econometric model.
• 6. Analysis of post-sample lead 1 forecast errors.
• 7. Causal relationships between selected economic variables.
• 7.1 Granger’s definition of causality and its characterization.
• 7.2 Detection of causality: Pierce’s broad tests.
• 7.3 Causal relationships between the selected monetary variables of the BNM model.
• 7.4 Progressive ?2 tests for detecting causality.
• 7.5 Causal relationships between short-term interest rate, 90-day money rate Frankfurt, and other selected variables.
• Glossary of abbreviations used in BNM model.