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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- Thomas Doan & Robert B. Litterman & Christopher A. Sims, 1986.
"Forecasting and conditional projection using realistic prior distribution,"
93, 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.
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- Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
- 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.
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