MARC Record from Library of Congress

LEADER: 02308cam a22003017a 4500
001 2006619969
003 DLC
005 20060928083824.0
007 cr |||||||||||
008 060927s2006 mou sb f000 0 eng
010 $a 2006619969
040 $aDLC$cDLC
050 00 $aHB1
100 1 $aClark, Todd E.
245 10 $aForecasting with small macroeconomic VARs in the presence of instabilities$h[electronic resource] /$cTodd E. Clark and Michael W. McCracken.
260 $aKansas City [Mo.] :$bResearch Division, Federal Reserve Bank of Kansas City,$c[2006]
490 0 $aRWP ;$v06-09
538 $aSystem requirements: Adobe Acrobat Reader.
538 $aMode of access: World Wide Web.
500 $aTitle from PDF file (viewed on Sept. 27, 2006).
500 $a"June 2006."
530 $aAlso available in print.
520 3 $aSmall-scale VARs have come to be widely used in macroeconomics, for purposes ranging from forecasting output, prices, and interest rates to modeling expectations formation in theoretical models. However, a body of recent work suggests such VAR models may be prone to instabilities. In the face of such instabilities, a variety of estimation or forecasting methods might be used to improve the accuracy of forecasts from a VAR. These methods include using different approaches to lag selection, observation windows for estimation, (over-) differencing, intercept correction, stochastically time--varying parameters, break dating, discounted least squares, Bayesian shrinkage, detrending of inflation and interest rates, and model averaging. Focusing on simple models of U.S. output, prices, and interest rates, this paper compares the effectiveness of such methods. Our goal is to identify those approaches that, in real time, yield the most accurate forecasts of these variables. We use forecasts from simple univariate time series models, the Survey of Professional Forecasters and the Federal Reserve Board's Greenbook as benchmarks
504 $aIncludes bibliographical references.
653 $aReal-time data ;$aPrediction ;$aStructural change
700 1 $aMcCracken, Michael W.
710 2 $aFederal Reserve Bank of Kansas City.$bResearch Division.
856 42 $3Abstract page with link to full-text PDF report$uhttp://www.kc.frb.org/PUBLICAT/RESWKPAP/RWP06-09.htm