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Specifying vector autoregressions for macroeconomic forecasting

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  • Robert B. Litterman

Abstract

This paper describes a Bayesian specification procedure used to generate a vector autoregressive model for forecasting macroeconomic variables. The specification search is over parameters of a prior. This quasi-Bayesian approach is viewed as a flexible tool for constructing a filter which optimally extracts information about the future from a set of macroeconomic data. The procedure is applied to a set of data and a consistent improvement in forecasting performance is documented.

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Bibliographic Info

Paper provided by Federal Reserve Bank of Minneapolis in its series Staff Report with number 92.

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Date of creation: 1984
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Handle: RePEc:fip:fedmsr:92

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  1. Chow, Gregory C & Lin, An-loh, 1971. "Best Linear Unbiased Interpolation, Distribution, and Extrapolation of Time Series by Related Series," The Review of Economics and Statistics, MIT Press, vol. 53(4), pages 372-75, November.
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Cited by:
  1. Bennett T. McCallum, 1985. "Monetary vs. Fiscal Policy Effects: A Review of the Debate," NBER Working Papers 1556, National Bureau of Economic Research, Inc.
  2. Pillai N., Vijayamohanan, 2008. "In Quest of Truth: The War of Methods in Economics," MPRA Paper 8866, University Library of Munich, Germany.
  3. David Mortimer Krainz, 2011. "An Evaluation of the Forecasting Performance of Three Econometric Models for the Eurozone and the USA," WIFO Working Papers 399, WIFO.
  4. William M. Lupoletti & Roy H. Webb, 1984. "Defining and improving the accuracy of macroeconomic forecasts : contributions from a VAR model," Working Paper 84-06, Federal Reserve Bank of Richmond.
  5. Pentti Pikkarainen & Matti Virén, 1989. "Granger causality between money, output, prices and interest rates: Some cross-country evidence from the period 1875–1984," Review of World Economics (Weltwirtschaftliches Archiv), Springer, vol. 125(1), pages 74-82, March.
  6. Ford, Stephen A., 1986. "An Application Of Bayesian Vector Autoregression To The U.S. Turkey Market," Staff Papers 13982, University of Minnesota, Department of Applied Economics.
  7. Ford, Stephen A., 1986. "A Beginner'S Guide To Vector Autoregression," Staff Papers 13527, University of Minnesota, Department of Applied Economics.
  8. Karine Bouthevillain, 1993. "La prévision macro-économique : précision relative et consensus," Économie et Prévision, Programme National Persée, vol. 108(2), pages 97-126.
  9. Francisco F. R. Ramos, 1996. "VAR Priors: Success or lack of a decent macroeconomic theory?," Econometrics 9601002, EconWPA.

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