Journal Article

Toward more accurate macroeconomic forecasts

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, Webbs 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.

Bibliographic Information

Provider: Federal Reserve Bank of Richmond

Part of Series: Economic Review

Publication Date: 1985

Volume: 71

Issue: Jul

Pages: 3-11