پیش بینی سری های زمانی چندمتغیره تحت محدودیت های حرکت مشترک بلندمدت و کوتاه مدت مدل ارزش فعلی

Using a well-known database, maintained by Robert Shiller, we implement a forecasting competition that imposes different layers of PVM restrictions. Our exhaustive investigation of several different multivariate models reveals that better forecasts can be achieved when restrictions are applied to the unrestricted VAR. Moreover, imposing short-run restrictions produces forecast winners 70% of the time for the target variables of PVMs and 63.33% of the time when all variables in the system are considered.