The assessment of some point and forecast intervals for unemployment rate in Romania

Authors

  • Simionescu Mihaela

Keywords:

point forecasts, forecast intervals, VAR model, Bayesian VAR model, unemployment rate

Abstract

In this paper, quarterly point forecasts and prediction intervals are built for unemployment rate in Romania. The point forecasts are based on some updated vector-autoregressive models (VAR models) and on a Bayesian VAR model. These point predictions and the root mean squared- error corresponding to the forecasts of the previous 4 quarters are used to construct the intervals. According to root mean squared-error, mean error and mean absolute error, VAR model outperformed the Bayesian approach in terms of forecast accuracy. 75% of the intervals based on VAR models included the quarterly forecasts on the horizon 2011:01-2014:04. The probability of these intervals to include the actual values is higher than 0.8, according to likelihood ratio and chi-square tests.

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Published

2015-04-01

How to Cite

Mihaela, S. (2015). The assessment of some point and forecast intervals for unemployment rate in Romania. International Journal of Economic Practices and Theories, 5(2), 88-94. Retrieved from http://ijept.eu/index.php/ijept/article/view/The_Assessment_of_Some_Point_and_Forecast_Intervals_for_Unempl

Issue

Vol. 5 No. 2 (2015)

Section

Articles

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