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A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area

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  • Theodore M. Crone
  • Michael P. McLaughlin
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    Abstract

    Vector-autoregression (VAR) forecast models have been developed for many state economies, including the three states in the Third Federal Reserve District--Pennsylvania, New Jersey, and Delaware. This paper extends that work by developing a Bayesian VAR forecast model for the Philadelphia metropolitan area and the city of Philadelphia.

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    File URL: http://www.philadelphiafed.org/research-and-data/publications/working-papers/1999/wp99-7.pdf
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    Bibliographic Info

    Paper provided by Federal Reserve Bank of Philadelphia in its series Working Papers with number 99-7.

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    Date of creation: 1999
    Date of revision:
    Handle: RePEc:fip:fedpwp:99-7

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    Keywords: Forecasting ; Philadelphia (Pa.);

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    References

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    1. Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report, Federal Reserve Bank of Minneapolis 93, Federal Reserve Bank of Minneapolis.
    2. Ben S. Bernanke, 1990. "On the predictive power of interest rates and interest rate spreads," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 51-68.
    3. Robert P. Inman, 1992. "Can Philadelphia escape its fiscal crisis with another tax increase?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 5-20.
    4. Theodore M. Crone & Sherry Delaney & Leonard O. Mills, 1992. "Vector-autoregression forecast models for the Third District states," Working Papers 92-19, Federal Reserve Bank of Philadelphia.
    5. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall.
    6. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, Federal Reserve Bank of Minneapolis, issue Fall.
    7. Theodore M. Crone, 1997. "Where have all the factory jobs gone - and why?," Business Review, Federal Reserve Bank of Philadelphia, issue May, pages 3-18.
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    Cited by:
    1. Munehisa Kasuya & Tomoki Tanemura, 2000. "Small Scale Bayesian VAR Modeling of the Japanese Macro Economy Using the Posterior Information Criterion and Monte Carlo Experiments," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.

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