A Nine-Variable Probabilistic Macroeconomic Forecasting Model
In: Business Cycles, Indicators and Forecasting
AbstractThis model extends one originally constructed by Robert Litterman in 1980 and used continuously since then to prepare quarterly forecasts. The current version is 3 variables larger than Littermanâs original model, and it now allows time variation in coefficients, predictable time variation in forecast error variance, and non-normality in disturbances. Despite this elaboration the model in a sense has just 12 parameters free to fit the behavior of 9 variables in 9 equations. The paper reports the model structure and summarizes some aspects of its recent forecasting performance.
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Other versions of this item:
- Christopher A. Sims, 1989. "A nine variable probabilistic macroeconomic forecasting model," Discussion Paper / Institute for Empirical Macroeconomics 14, Federal Reserve Bank of Minneapolis.
- Christopher A. Sims, 1992. "A Nine Variable Probabilistic Macroeconomic Forecasting Model," Cowles Foundation Discussion Papers 1034, Cowles Foundation for Research in Economics, Yale University.
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