Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of Richmond
Economic Review
Toward more accurate macroeconomic forecasts
Roy H. Webb
Abstract

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.


Download Full text
Cite this item
Roy H. Webb, "Toward more accurate macroeconomic forecasts" , Federal Reserve Bank of Richmond, Economic Review, issue Jul, pages 3-11, 1985.
More from this series
JEL Classification:
Subject headings:
Keywords: Forecasting
For corrections, contact Christian Pascasio ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal