Advanced Search
MyIDEAS: Login to save this article or follow this journal

Vector autoregressions as a tool for forecast evaluations

Contents:

Author Info

  • Roy H. Webb
Registered author(s):

    Abstract

    In his article, “Vector Autoregressions as a Tool for Forecast Evaluation,” Roy H. Webb proposes that VAR forecasts be used as a standard of comparison for other forecasts. He begins by explaining how conventional forecasting models are constructed and used, and summarizes a few common objections to these models. He then describes the VAR methodology and compares forecasts from a simple VAR model with those from a consulting firm that uses a conventional model and with a series of consensus forecasts. The VAR model holds its own in this competition; in fact, only the VAR model is able to predict the 1981-1982 recession one year before its occurrence.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.richmondfed.org/publications/research/economic_review/1984/pdf/er700101.pdf
    Download Restriction: no

    Bibliographic Info

    Article provided by Federal Reserve Bank of Richmond in its journal Economic Review.

    Volume (Year): (1984)
    Issue (Month): Jan ()
    Pages: 3-11

    as in new window
    Handle: RePEc:fip:fedrer:y:1984:i:jan:p:3-11:n:v.70no.1

    Contact details of provider:
    Web page: http://www.richmondfed.org/
    More information through EDIRC

    Order Information:
    Email:
    Web: http://www.richmondfed.org/publications/

    Related research

    Keywords: Forecasting;

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Fullerton, Thomas Jr. & Laaksonen, Mika M. & West, Carol T., 2001. "Regional multi-family housing start forecast accuracy," International Journal of Forecasting, Elsevier, Elsevier, vol. 17(2), pages 171-180.
    2. William M. Lupoletti & Roy H. Webb, 1984. "Defining and improving the accuracy of macroeconomic forecasts : contributions from a VAR model," Working Paper, Federal Reserve Bank of Richmond 84-06, Federal Reserve Bank of Richmond.
    3. Darrat, Ali F. & Mukherjee, Tarun K., 1995. "Inter-industry differences and the impact of operating and financial leverages on equity risk," Review of Financial Economics, Elsevier, Elsevier, vol. 4(2), pages 141-155.
    4. Thomas M. Fullerton Jr. & Ana Cecilia Nava, 2004. "Short-Term Water Dynamics in Chihuahua City, Mexico," Urban/Regional, EconWPA 0404001, EconWPA.
    5. Arnold Cote, K. Nicole & Smith, Wm. Doyle & Fullerton, Thomas M., Jr., 2010. "Municipal Non-Residential Real Property Valuation Forecast Accuracy," MPRA Paper 32116, University Library of Munich, Germany, revised 11 Feb 2011.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:fip:fedrer:y:1984:i:jan:p:3-11:n:v.70no.1. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (William Perkins).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.