Skip to main content
SpringerLink
Log in

Forecasting economies in transition: The case of Romania

  • Published:
Economics of Planning Aims and scope Submit manuscript

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.

This is a preview of subscription content, log in via an institution to check access.

Access this article

Log in via an institution

Price excludes VAT (USA)
Tax calculation will be finalised during checkout.

Instant access to the full article PDF.

Institutional subscriptions

Similar content being viewed by others

References

  • Charemza W.W. (1992), ‘Formation and dynamics of foreign exchange rates in eastern and western Europe’.University of Leicester discussion papers in European economic studies.

  • Crowder, M.J. (1976), ‘Maximum likelihood estimation for dependent observations’,Journal of the Royal Statistical Society, Series B, 38(1), 45–53.

    Google Scholar 

  • Garratt and Hall (1992), ‘Model Consistent Learning and Regime Switching’, London Business School Discussion Paper, 02-92.

  • Hall S.G., Cuthbertson K. and Taylor M.P. (1992),Applied Econometric Techniques, University of Michigan Press, Ann Arbor.

    Google Scholar 

  • Hall S.G. (1993), ‘Modelling structural change using the Kalman filter’Economics of Planning, 26, 1–13.

    Google Scholar 

  • Harvey, A.C. (1987), ‘Applications of the Kalman filter in econometrics’, In T.F. Bewley (ed.),Advances in Econometrics: Fifth World Congress, vol. 1, Econometric Society Monograph No.13, Cambridge University Press.

  • Hendry D.F., Pagan A.R. and Sargan J.D. (1984), ‘Dynamic specification’ in Griliches Z. and Intriligator M.D. (eds.),Handbook of Econometrics, North-Holland, Amsterdam.

    Google Scholar 

  • Schweppe, F. (1965), ‘Evaluation of likelihood functions for Gaussian Signals’,IEEE Transactions on Information Theory, 11(1), 61–70.

    Google Scholar 

Download references

Author information

Authors and Affiliations

  1. London Business School, UK

    Stephen G. Hall & John O'Sullivan

Authors
  1. Stephen G. Hall
    View author publications

    You can also search for this author in PubMed Google Scholar

  2. John O'Sullivan
    View author publications

    You can also search for this author in PubMed Google Scholar

Rights and permissions

Reprints and permissions

About this article

Cite this article

Hall, S.G., O'Sullivan, J. Forecasting economies in transition: The case of Romania. Econ Plann 27, 175–184 (1994). https://doi.org/10.1007/BF01265330

Download citation

  • Issue Date:

  • DOI: https://doi.org/10.1007/BF01265330

Keywords

Search

Navigation