Comparison of Box-Jenkins and Bonn Monetary Model Predition Performance [Paperback]

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 Grangers definition of causality and its characterization.- 7.2 Detection of causality: Pierces broad tests.- 7.2.1 Testing the independence of two series x and y: ?(uv;k) = 0 for all k.- 7.2.2 Assessment of different types of causality.- 7.2.3 Confirmation of unidirectional causality.- 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.Springer Book Archives