Discussion Paper
A nine variable probabilistic macroeconomic forecasting model
Abstract: This model extends one originally constructed by Robert Litterman in 1980 and used continuously since then to prepare quarterly forecasts. The current version is 3 variables larger than Littermans original model, and it now allows time variation in coefficients, predictable time variation in forecast error variance, and non-normality in disturbances. Despite this elaboration the model in a sense has just 12 parameters free to fit the behavior of 9 variables in 9 equations. The paper reports the model structure and summarizes some aspects of its recent forecasting performance.
Keywords: Forecasting;
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File(s): File format is application/pdf http://minneapolisfed.org/research/common/pub_detail.cfm?pb_autonum_id=14
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Bibliographic Information
Provider: Federal Reserve Bank of Minneapolis
Part of Series: Discussion Paper / Institute for Empirical Macroeconomics
Publication Date: 1989
Number: 14