Search Results
Journal Article
Vector autoregressions as a tool for forecast evaluations
In his article, Vector Autoregressions as a Tool for Forecast Evaluation, Roy H. Webb proposes that VAR forecasts be used as a standard of comparison for other forecasts. He begins by explaining how conventional forecasting models are constructed and used, and summarizes a few common objections to these models. He then describes the VAR methodology and compares forecasts from a simple VAR model with those from a consulting firm that uses a conventional model and with a series of consensus forecasts. The VAR model holds its own in this competition; in fact, only the VAR model is able to ...
Journal Article
Wage-price restraint and macroeconomic disequilibrium
An abstract for this article is not available
Journal Article
Forecasts 1985
An abstract for this article is not available
Working Paper
On predicting the stage of the business cycle
Macroeconomic forecasts are traditionally stated as point estimates. Retrospective evaluations of forecasts usually assume that the cost of a forecast error increases with the arithmetic magnitude of the error. As a result, measures such as the root-mean-square error (RSME) or the mean absolute error (MAE) are most often used to summarize forecast performance. ; An earlier version of this paper, "The Business Cycle and Economic Forecasting," was presented to the Western Economic Association in July 1986, and to the Federal Reserve System Research Committee on Business Analysis in November ...
Journal Article
National productivity statistics
Working Paper
Defining and improving the accuracy of macroeconomic forecasts : contributions from a VAR model
Thirty years ago it appeared that the best strategy for improving economic forecasts was to build bigger, more detailed models. As the costs of computing plummeted, considerable detail was added to models and more elaborate statistical techniques became feasible.
Journal Article
The irrelevance of tests for bias in series of macroeconomic forecasts
The idea of rational expectations has revolutionized macroeconomics. Several authors believe that the idea can be easily tested by a simple econometric procedure. This paper, however, presents several reasons for questioning the relevance of such tests.
Journal Article
Toward more accurate macroeconomic forecasts
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 ...
Briefing
Predicting Recessions
This Economic Brief evaluates the predictive capabilities of the yield curve and several other leading indicators, including the Conference Board Leading Economic Index (LEI), claims for unemployment insurance, manufacturing activity, consumer lending, and CEO optimism. According to in-sample statistical analysis, several indicators — particularly the three-month/ten-year term spread and the LEI — have demonstrated significant value in predicting recessions during the past sixty years.