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Working Papers (Old Series)
Evaluating Conditional Forecasts from Vector Autoregressions
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on methods for evaluating conditional forecasts. This paper provides analytical,Monte Carlo, and empirical evidence on tests of predictive ability for conditional forecasts from estimated models. In the empirical analysis, we consider forecasts of growth, unemployment, and inflation from a VAR, based on conditions on the short-term interest rate. Throughout the analysis, we focus on tests of bias, efficiency, and equal accuracy applied to conditional forecasts from VAR models.
Cite this item
Todd E. Clark & Michael W. McCracken, Evaluating Conditional Forecasts from Vector Autoregressions, Federal Reserve Bank of Cleveland, Working Papers (Old Series) 1413, 02 Oct 2014.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
Keywords: Prediction; forecasting; out-of-sample
This item with handle RePEc:fip:fedcwp:1413
is also listed on EconPapers
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