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Forecasting economies in transition: The case of Romania (1994)

Hall, Stephen G. ; O'Sullivan, John

Springer

Economic change & restructuring 27 (1994), S. 175-184

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ISSN: 1574-0277

Source: Springer Online Journal Archives 1860-2000

Topics: Economics

Notes: Abstract Structural change is endemic in the Eastern European economies and the newly emerging Commonwealth of Independent States yet conventional econometric modelling techniques proceed under the assumption that there is a structurally stable ‘true’ economy to be discovered. This paper extends the analysis of Hall (1993) by exploring the consequences of endemic structural change for forecasting and building structural econometric models. We propose a model formulation which makes the econometric model itself able to adjust its parameters in the light of economic change using the Kalman Filter. The paper then illustrates this approach by building a small model of Romania and investigating its forecasting properties.

Type of Medium: Electronic Resource

URL: http://dx.doi.org/10.1007/BF01265330

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