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Journal ArticleDOI

A Statistical Approach to Economic Forecasting

Robert B. Litterman
- 01 Jan 1986 - 
- Vol. 4, Iss: 1, pp 1-4
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TLDR
A recently developed statistical model, called Bayesian vector autoregression (BVAR), has proven to be a useful tool for economic forecasting as mentioned in this paper, predicting a strong resurgence of growth in the second half of 1985 and in 1986.
Abstract
A recently developed statistical model, called Bayesian vector autoregression, has proven to be a useful tool for economic forecasting. Such a model today forecasts a strong resurgence of growth in the second half of 1985 and in 1986.

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Citations
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Journal ArticleDOI

Large Bayesian vector auto regressions

TL;DR: In this article, the authors show that vector auto regression with Bayesian shrinkage is an appropriate tool for large dynamic models and that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis.
BookDOI

Principles of forecasting

J. Armstrong
TL;DR: A review of the evidence showed that role playing was effective in matching results for seven of eight experiments and was correct for 56 percent of 143 predictions, while unaided expert opinions were correct for 16 percent of 172 predictions.
Posted Content

Large Bayesian vector auto regressions

TL;DR: In this paper, the authors show that vector auto regression with Bayesian shrinkage is an appropriate tool for large dynamic models and that large VARs with shrinkage produce credible impulse responses and are suitable for structural analysis.
Journal ArticleDOI

Comparing dynamic equilibrium models to data: a Bayesian approach

TL;DR: In this paper, the authors study the properties of the Bayesian approach to estimation and comparison of dynamic equilibrium economies and illustrate the strong small sample behavior of the approach using a well-known application.
Posted Content

Large Bayesian VARs

TL;DR: The authors assesses the performance of Bayesian vector autoregression (BVAR) for large models with more than one hundred variables containing key macroeconomic time series and additional sectoral and detailed conjunctural information.
References
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Journal ArticleDOI

Macroeconomics and reality

Christopher A. Sims
- 01 Jan 1980 - 
TL;DR: In this article, the authors argue that the style in which their builders construct claims for a connection between these models and reality is inappropriate, to the point at which claims for identification in these models cannot be taken seriously.
ReportDOI

Forecasting and conditional projection using realistic prior distributions

TL;DR: This paper developed a forecasting procedure based on a Bayesian method for estimating vector autoregressions, which is applied to 10 macroeconomic variables and is shown to improve out-of-sample forecasts relative to univariate equations.
Journal ArticleDOI

Forecasting With Bayesian Vector Autoregressions-Five Years of Experience

TL;DR: In this article, the authors consider the problem of economic forecasting, the justification for the Bayesian approach, its implementation, and the performance of one small BVAR model over the past five years.
Journal ArticleDOI

Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts

TL;DR: This article compares the accuracy of these VAR forecasts with that of several prominent forecasters and provides an interpretation of this evidence and speculations on the potential of these two approaches to economic modeling and forecasting.
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