A Nine Variable Probabilistic Macroeconomic Forecasting Model
A model for U.S. macroeconomic time series that has been used for forecasting for several years is described in some detail. The model is a multivariate Bayesian autoregression, with allowance for conditional heteroskedasticity, stochastic time-variation in parameters, and non-normality of disturbances. It specifies the prior distribution in ways that improve on previous Bayesian vector autoregression specifications in realism and forecasting performance. The model's record of forecasting in recent years is displayed and discussed.
|Date of creation:||Oct 1992|
|Date of revision:|
|Publication status:||Published in James H. Stock and Mark W. Watson (eds.), Business Cycles, Indicators, and Forecasting, NBER, 1993, pp. 179-214|
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Web page: http://cowles.econ.yale.edu/
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|Order Information:|| Postal: Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- John Geweke, 1992.
"Priors for macroeconomic time series and their application,"
Discussion Paper / Institute for Empirical Macroeconomics
64, Federal Reserve Bank of Minneapolis.
- Geweke, John, 1994. "Priors for Macroeconomic Time Series and Their Application," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 609-632, August.
- Robert B. Litterman, 1985.
"Forecasting with Bayesian vector autoregressions five years of experience,"
274, Federal Reserve Bank of Minneapolis.
- 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.
- Sims, Christopher A., 1992.
"Interpreting the macroeconomic time series facts : The effects of monetary policy,"
European Economic Review,
Elsevier, vol. 36(5), pages 975-1000, June.
- Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers 1011, Cowles Foundation for Research in Economics, Yale University.
- Ben S. Bernanke, 1986.
"Alternative Explanations of the Money-Income Correlation,"
NBER Working Papers
1842, National Bureau of Economic Research, Inc.
- Bernanke, Ben S., 1986. "Alternative explanations of the money-income correlation," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 25(1), pages 49-99, January.
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