by Scutaru, Cornelia;
Saman, Corina and Stanica, Cristian
Published in Romanian Journal of Economic Forecasting, 2008, volume 9 issue 4, 196-205
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There is a relationship between predictability and complexity. The problem of evaluating the complexity of the macroeconomic phenomenon can be reduced to decomposition into its principal components (which may have, in their turn, a certain degree of complexity) and to identify its common sources of evolution that are predictable. In this paper, we evaluate the predictability of economic indicators and continue with its decomposition until the simplest sources allowed by available statistical data are obtained, then use this predictable sources to construct a forecasting model.
predictability, complexity, principal components, consumption, investment, foreign trade, time series forecasting