Journal Article
Vector autoregressive forecasts of recession and recovery: is less more?
Abstract: A look at the pros and cons of VAR models, and consideration of how lag lengths affect out-of-sample forecasts.
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https://fraser.stlouisfed.org/title/economic-review-federal-reserve-bank-cleveland-1328/1985-quarter-2-4378?page=4
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Bibliographic Information
Provider: Federal Reserve Bank of Cleveland
Part of Series: Economic Review
Publication Date: 1985
Issue: Q II
Pages: 2-12