The Ateneo Macroeconomic and Forecasting Model

Abstract

The Ateneo Macroeconomic and Forecasting Model (AMFM) is a small quarterly macroeconometric model of the Philippine economy. Designed for forecasting and policy analysis, the model generates results for key macroeconomic indicators. The underlying structure of the AMFM is similar to the short run version of Murphy model of Australia. It incorporates Keynesian elements which capture the slow adjustment of prices and unemployment. It also integrates some of the optimizing behavior that is commonly found in Neoclassical economics and in the long run version of the Murphy model.

The stochastic equations of the model were estimated using ordinary least squares. In the specification search, each equation was evaluated on three criteria. First, the coefficient estimates must be consistent with economic theory or a priori expectations. Second, each equation should track actual data well. Finally, each equation must pass a series of statistical tests.

Despite being at an early stage of model development, the AMFM as a whole tracks historical data on key macroeconomic aggregates reasonably well. This is supported by the low root mean square errors and mean absolute percentage errors of the variables.

JEL classification: E17, D58