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A vector error-correction forecasting model of the US economy

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  • Anderson, Richard G.
  • Hoffman, Dennis L.
  • Rasche, Robert H.

Abstract

Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies of such time series reinforce the need to specify correctly a model's multivariate stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is anchored by long-run equilibrium relationships suggested by economic theory. The model includes six variables - the CPI, the implicit price deflator for GDP, real money balances (MI), the federal funds rate, the yield on long-term (10-year) government bonds, and real GDP - and four cointegrating vectors. Model forecasts during the 1990's are compared to those made by the Federal Reserve and by private forecasters.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Macroeconomics.

Volume (Year): 24 (2002)
Issue (Month): 4 (December)
Pages: 569-598

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Handle: RePEc:eee:jmacro:v:24:y:2002:i:4:p:569-598

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Web page: http://www.elsevier.com/locate/inca/622617

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Citations

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Cited by:
  1. Levent, Korap, 2008. "Exchange rate determination of TL/US$: a co-integration approach," MPRA Paper 19659, University Library of Munich, Germany.
  2. Burger, Kees & Smit, Hidde & Vogelvang, Ben, 2002. "Exchange Rates and Natural Rubber Prices, the Effect of the Asian Crisis," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24958, European Association of Agricultural Economists.
  3. Tom Stark, 1998. "A Bayesian vector error corrections model of the U.S. economy," Working Papers 98-12, Federal Reserve Bank of Philadelphia.
  4. José Fernando Escobar R. & Carlos Esteban Posada P., . "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia 303, Banco de la Republica de Colombia.
  5. Alfred A. Haug & Ozer Karagedikli & Satish Ranchhod, 2003. "Monetary policy transmission mechanisms and currency unions A vector error correction approach to a Trans-Tasman currency union," Working Papers 2003_2, York University, Department of Economics.
  6. Masahiro Ashiya, 2005. "Twenty-two years of Japanese institutional forecasts," Applied Financial Economics Letters, Taylor and Francis Journals, vol. 1(2), pages 79-84, March.
  7. Fabio Bacchini & Cristina Brandimarte & Piero Crivelli & Roberta De Santis & Marco Fioramanti & Alessandro Girardi & Roberto Golinelli & Cecilia Jona-Lasinio & Massimo Mancini & Carmine Pappalardo & D, 2013. "Building the core of the Istat system of models for forecasting the Italian economy: MeMo-It," Rivista di statistica ufficiale, ISTAT - Italian National Institute of Statistics - (Rome, ITALY), vol. 15(1), pages 17-45.
  8. José Fernando Escobar R. & Carlos Estaban Posada, 2004. "Dinero, Precios, Tasa De Interés Y Actividad Económica: Un Modelo Del Caso Colombiano (1984:I-2003:Iv)," BORRADORES DE ECONOMIA 002366, BANCO DE LA REPÚBLICA.
  9. Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
  10. Meniago, Christelle & Mukuddem-Petersen, Janine & Petersen, Mark A. & Mongale, Itumeleng P., 2013. "What causes household debt to increase in South Africa?," Economic Modelling, Elsevier, vol. 33(C), pages 482-492.
  11. Wagatha, Matthias, 2007. "Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
    [Integration, Cointegration and Long-Horizont Forecasting of Credit-Default-Cycles]
    ," MPRA Paper 8602, University Library of Munich, Germany.
  12. John W. Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Working Papers 07-1, Bank of Canada.
  13. Ashiya, Masahiro, 2007. "Forecast accuracy of the Japanese government: Its year-ahead GDP forecast is too optimistic," Japan and the World Economy, Elsevier, vol. 19(1), pages 68-85, January.
  14. Jean-François Goux & Charbel Cordahi, 2007. "The international transmission of monetary shocks in a dollarized economy: The case of USA and Lebanon," Post-Print halshs-00174466, HAL.
  15. Chuku, Chuku & Effiong, Ekpeno & Sam, Ndifreke, 2010. "Oil price distortions and their short- and long-run impacts on the Nigerian economy," MPRA Paper 24434, University Library of Munich, Germany.
  16. Levent, Korap, 2007. "Testing causal relationships between energy consumption, real income and prices: evidence from Turkey," MPRA Paper 21834, University Library of Munich, Germany.

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