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Forecasting with vector autoregressive (VAR) models subject to business cycle restrictions

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  • Simkins, Scott

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  • Simkins, Scott, 1995. "Forecasting with vector autoregressive (VAR) models subject to business cycle restrictions," International Journal of Forecasting, Elsevier, vol. 11(4), pages 569-583, December.
    • Handle: RePEc:eee:intfor:v:11:y:1995:i:4:p:569-583
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    1. Kloek, Tuen & van Dijk, Herman K, 1978. "Bayesian Estimates of Equation System Parameters: An Application of Integration by Monte Carlo," Econometrica, Econometric Society, vol. 46(1), pages 1-19, January.
    2. Simkins, Scott P., 1994. "Do real business cycle models really exhibit business cycle behavior?," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 381-404, April.
    3. Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
    4. McNees, Stephen K., 1986. "Forecasting accuracy of alternative techniques: A comparison of US macroeconomic forecasts, with comment : Stephen K. McNees, with comment, Journal of Business and Economic Statistics 4 (1986) 5-23," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
    5. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
    6. Arthur F. Burns & Wesley C. Mitchell, 1946. "Measuring Business Cycles," NBER Books, National Bureau of Economic Research, Inc, number burn46-1.
    7. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
    8. King, Robert G. & Plosser, Charles I., 1994. "Real business cycles and the test of the Adelmans," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 405-438, April.
    9. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    10. Geoffrey H. Moore & Victor Zarnowitz, 1984. "The Development and Role of the National Bureau's Business Cycle Chronologies," NBER Working Papers 1394, National Bureau of Economic Research, Inc.
    11. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 1-23, January.
    12. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1.
    13. Litterman, Robert, 1986. "Forecasting with Bayesian vector autoregressions -- Five years of experience : Robert B. Litterman, Journal of Business and Economic Statistics 4 (1986) 25-38," International Journal of Forecasting, Elsevier, vol. 2(4), pages 497-498.
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    Cited by:

    1. Pascual, Lorenzo & Fresoli, Diego Eduardo, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," DES - Working Papers. Statistics and Econometrics. WS ws113426, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    3. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    4. Zafar, Raja Fawad & Qayyum, Abdul & Ghouri, Saghir Pervaiz, 2015. "Forecasting Inflation using Functional Time Series Analysis," MPRA Paper 67208, University Library of Munich, Germany.
    5. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.

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