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A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area

Author

Listed:
  • Theodore M. Crone
  • Michael P. McLaughlin

Abstract

Vector-autoregression (VAR) forecast models have been developed for many state economies, including the three states in the Third Federal Reserve District--Pennsylvania, New Jersey, and Delaware. This paper extends that work by developing a Bayesian VAR forecast model for the Philadelphia metropolitan area and the city of Philadelphia.

Suggested Citation

  • Theodore M. Crone & Michael P. McLaughlin, 1999. "A Bayesian VAR forecasting model for the Philadelphia Metropolitan Area," Working Papers 99-7, Federal Reserve Bank of Philadelphia.
  • Handle: RePEc:fip:fedpwp:99-7
    as

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    File URL: http://www.philadelphiafed.org/research-and-data/publications/working-papers/1999/wp99-7.pdf
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    References listed on IDEAS

    as
    1. Richard M. Todd, 1984. "Improving economic forecasting with Bayesian vector autoregression," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    2. Theodore M. Crone, 1997. "Where have all the factory jobs gone - and why?," Business Review, Federal Reserve Bank of Philadelphia, issue May, pages 3-18.
    3. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Fall.
    4. 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.
    5. Ben S. Bernanke, 1990. "On the predictive power of interest rates and interest rate spreads," New England Economic Review, Federal Reserve Bank of Boston, issue Nov, pages 51-68.
    6. Theodore M. Crone & Sherry Delaney & Leonard O. Mills, 1992. "Vector-autoregression forecast models for the Third District states," Working Papers 92-19, Federal Reserve Bank of Philadelphia.
    7. Robert P. Inman, 1992. "Can Philadelphia escape its fiscal crisis with another tax increase?," Business Review, Federal Reserve Bank of Philadelphia, issue Sep, pages 5-20.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Munehisa Kasuya & Tomoki Tanemura, 2000. "Small Scale Bayesian VAR Modeling of the Japanese Macro Economy Using the Posterior Information Criterion and Monte Carlo Experiments," Bank of Japan Working Paper Series Research and Statistics D, Bank of Japan.

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    Keywords

    Forecasting ; Philadelphia (Pa.);

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