THE PERFORMANCE OF PREDICTIONS BASED ON THE DOBRESCU MACROMODEL FOR THE ROMANIAN ECONOMY

This research has two main objectives: the evaluation of forecast performance based on the Dobrescu macromodel for the Romanian economy on the horizon 1997-2012 and the proposal of some empirical strategies to improve the prediction accuracy. Seven macroeconomic indicators were selected and the most accurate forecasts are those for exchange rate, the less accurate being export rate predictions. Unlike the rest of the forecasts, these are biased. The best improvement in accuracy for the seven types of forecasts was obtained by applying Hodrick-Prescott filter and Holt-Winters adjustment. Most of the NCP forecasts are available from 2004. Therefore, a comparison of accuracy was made for 2004-2012 using Diebold-Mariano test. Dobrescu model provided more accurate forecasts on the horizon 2004-2012 compared to NCP for GDP deflator; index of private consumption, index of consumer prices, export rate and exchange rate. NCP outperformed Dobrescu anticipations on the same horizon for GDP index and unemployment rate. During 2004-2012, Dobrescu model offered forecasts with a higher degree of efficiency compared to NCP for GDP deflator, consumer index of prices and exchange rate. Using a fixed-effects model based on three scenarios of the Dobrescu model for GDP deflator, index of private consumption, GDP index and index of consumer prices, the weak efficiency was checked only for GDP deflator and index of private consumption.