Forecasting the New York State Economy with "Terraced" VARs and Coincident Indices
AbstractThis paper introduces "Terraced" Vector Autoregressive (VAR) models, an innovative twist on traditional VAR modeling, which allows the econometrician to simultaneously forecast both exogenous and endogenous variables and the confidence intervals around those forecasts.In an application of our Terraced VAR framework, we have estimated coincident indices of economic activity for the United States, New York State and the six largest metropolitan areas of New York State and incorporated them into Terraced VARs, which forecast the unemployment rate, total non-farm employment, real wages and average hours worked in manufacturing in those regions.
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Bibliographic InfoArticle provided by New York State Economics Association (NYSEA) in its journal New York Economic Review.
Volume (Year): 41 (2010)
Issue (Month): 1 ()
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- Jason Bram & James Orr & Robert Rich & Rae Rosen & Joseph Song, 2009. "Is the worst over? Economic indexes and the course of the recession in New York and New Jersey," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 15(Sep).
- Megna, Robert & Xu, Qiang, 2003. "Forecasting the New York State economy: The coincident and leading indicators approach," International Journal of Forecasting, Elsevier, vol. 19(4), pages 701-713.
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