Toward more accurate macroeconomic forecasts
A growing disenchantment with conventional economic models has resulted in increased interest in forecasting with vector autoregressive (VAR) models. In this article, Roy H. Webb develops a statistical procedure for determining the best configuration of explanatory variables in the equations of a VAR model. The resulting model forecasts more accurately than a conventional VAR model and is comparable to VARs improved through other popular methods. In addition, Webb’s procedure lets the data determine the form of the model and reduces the role of judgment in specifying equations, consistent with the atheoretical spirit of VAR models.
Volume (Year): (1985)
Issue (Month): Jul ()
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- Robert B. Litterman, 1979. "Techniques of forecasting using vector autoregressions," Working Papers 115, Federal Reserve Bank of Minneapolis.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1983.
"Forecasting and Conditional Projection Using Realistic Prior Distributions,"
NBER Working Papers
1202, National Bureau of Economic Research, Inc.
- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986. "Forecasting and conditional projection using realistic prior distribution," Staff Report 93, Federal Reserve Bank of Minneapolis.
- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- Fackler, James S, 1985. "An Empirical Analysis of the Markets for Goods, Money, and Credit," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 28-42, February.
- Neftci, Salih N., 1986. "Is there a cyclical time unit?," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 24(1), pages 11-48, January.
- Meese, Richard & Geweke, John, 1984. "A Comparison of Autoregressive Univariate Forecasting Procedures for Macroeconomic Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 2(3), pages 191-200, July. Full references (including those not matched with items on IDEAS)
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