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Reply to the comments on 'A vector error-correction forecasting model of the U.S. economy'

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  • Anderson, Richard G.
  • Hoffman, Dennis L.
  • Rasche, Robert H.

Abstract

Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies of such time series reinforce the need to specify correctly a model's multivariate stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is anchored by long-run equilibrium relationships suggested by economic theory. The model includes six variables - the CPI, the implicit price deflator for GDP, real money balances (MI), the federal funds rate, the yield on long-term (10-year) government bonds, and real GDP - and four cointegrating vectors. Model forecasts during the 1990's are compared to those made by the Federal Reserve and by private forecasters.
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  • Anderson, Richard G. & Hoffman, Dennis L. & Rasche, Robert H., 2002. "Reply to the comments on 'A vector error-correction forecasting model of the U.S. economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 613-614, December.
    • Handle: RePEc:eee:jmacro:v:24:y:2002:i:4:p:613-614
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    2. Levent, Korap, 2007. "Modeling purchasing power parity using co-integration: evidence from Turkey," MPRA Paper 19584, University Library of Munich, Germany.
    3. Levent KORAP, 2008. "Exchange Rate Determination Of Tl/Us$:A Co-Integration Approach," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 7(1), pages 24-50, May.
    4. Lastrapes, William D., 2002. "Comments on 'A vector error-correction forecasting model of the US economy'," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 607-611, December.
    5. José Fernando Escobar R. & Carlos Esteban Posada P., 2005. "Dinero, precios, tasa de interés y actividad económica: un modelo del caso colombiano 1984:I-2003:IV," Monetaria, CEMLA, vol. 0(1), pages 1-34, enero-mar.
    6. José Fernando Escobar R. & Carlos Esteban Posada P., 2004. "Dinero, Precios, Tasa de Interés y Actividad Económica: Un Modelo del Caso Colombiano," Borradores de Economia 303, Banco de la Republica de Colombia.
    7. Guo, Zi-Yi, 2017. "Comparison of Error Correction Models and First-Difference Models in CCAR Deposits Modeling," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 17(4).
    8. Burger, Kees & Smit, Hidde & Vogelvang, Ben, 2002. "Exchange Rates and Natural Rubber Prices, the Effect of the Asian Crisis," 2002 International Congress, August 28-31, 2002, Zaragoza, Spain 24958, European Association of Agricultural Economists.
    9. Li Xiangfei & Zhang Zaisheng & Huang Chao, 2014. "An EPC Forecasting Method for Stock Index Based on Integrating Empirical Mode Decomposition, SVM and Cuckoo Search Algorithm," Journal of Systems Science and Information, De Gruyter, vol. 2(6), pages 481-504, December.
    10. Jean-François Goux & Charbel Cordahi, 2007. "The international transmission of monetary shocks in a dollarized economy: The case of USA and Lebanon," Post-Print halshs-00174466, HAL.
    11. Levent, Korap, 2007. "Testing causal relationships between energy consumption, real income and prices: evidence from Turkey," MPRA Paper 21834, University Library of Munich, Germany.
    12. Tom Stark, 1998. "A Bayesian vector error corrections model of the U.S. economy," Working Papers 98-12, Federal Reserve Bank of Philadelphia.
    13. Mahdi Barakchian, S., 2015. "Transmission of US monetary policy into the Canadian economy: A structural cointegration analysis," Economic Modelling, Elsevier, vol. 46(C), pages 11-26.
    14. Georgios Gatopoulos & Helen Gazopoulou & George A. Zombanakis, 2020. "Assessing the Impact of Domestic Economic Crises on Foreign Travel Data Recording: The Greek Case," European Research Studies Journal, European Research Studies Journal, vol. 0(3), pages 327-339.
    15. William C. Whitesell, "undated". "Interest Rates and M2 in an Error-Correction Macro Model," Finance and Economics Discussion Series 1997-59, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.

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