Specifying vector autoregressions for macroeconomic forecasting
This paper describes a Bayesian specification procedure used to generate a vector autoregressive model for forecasting macroeconomic variables. The specification search is over parameters of a prior. This quasi-Bayesian approach is viewed as a flexible tool for constructing a filter which optimally extracts information about the future from a set of macroeconomic data. The procedure is applied to a set of data and a consistent improvement in forecasting performance is documented.
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- Chow, Gregory C & Lin, An-loh, 1971.
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- Tom Doan, "undated". "DISAGGREGATE: RATS procedure to implement general disaggregation (interpolation/distribution) procedure," Statistical Software Components RTS00050, Boston College Department of Economics.
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