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Working Paper
On the sensitivity of VAR forecasts to alternative lag structures
Hafer, Rik; Sheehan, Richard G. (1987)
Working Papers , Paper 1987-004

Working Paper
Real-Time Forecasting with a Large, Mixed Frequency, Bayesian VAR
Owyang, Michael T.; McCracken, Michael W.; Sekhposyan, Tatevik (2015-10-08)
We assess point and density forecasts from a mixed-frequency vector autoregression (VAR) to obtain intra-quarter forecasts of output growth as new information becomes available. The econometric model is specified at the lowest sampling frequency; high frequency observations are treated as different economic series occurring at the low frequency. We impose restrictions on the VAR to account explicitly for the temporal ordering of the data releases. Because this type of data stacking results in a high-dimensional system, we rely on Bayesian shrinkage to mitigate parameter proliferation. The ...
Working Papers , Paper 2015-30

Working Paper
Using near-VARs to examine phase-dependent monetary and fiscal policy
Filardo, Andrew J. (1997)
Economic policies are known to have different effects on the economy depending on the size of policy changes and on business cycle conditions. For example, monetary policy might be more stimulative in recessions and around turning points in the business cycle than during expansions. Such dependencies, however, are usually ignored in most empirical research or are placed under the rubric of "long and variable lags." Accounting for phase-dependent policies holds out the possibility not only of better forecasting performance with our macroeconomic models and of more accurate methods to ...
Research Working Paper , Paper 97-11

Journal Article
Macroeconomic shocks and business cycles in Australia
Moreno, Ramon (1992)
A small vector autoregression model is estimated to assess how demand and supply shocks influence Australian output and price behavior. The model is identified by assuming that aggregate demand shocks have transitory effects on output, while aggregate supply shocks have permanent effects. The paper describes how Australian macroeconomic variables respond to demand and supply shocks in the short run and in the long run. It also finds that demand shocks are dominant in determining fluctuations in Australian output at a one-quarter horizon, but supply shocks assume the larger role at longer ...
Economic Review

Working Paper
Vector rational error correction
Tinsley, Peter A.; Kozicki, Sharon (1998)
Systems of forward-looking linear decision rules can be formulated as vector "rational" error correction models. The closed-form solution of the restricted error corrections is derived, and a full-information estimator is suggested. The error correction format indicates that the assumptions of convex adjustment costs and rational expectations impose different types of a priori restrictions on the dynamic structure of the error corrections. An empirical model of the producer decision rule for capital investment illustrates that the data rejects dynamic restrictions imposed by a standard ...
Research Working Paper , Paper 98-03

Report
A search for a structural Phillips curve
Sbordone, Argia M.; Cogley, Timothy (2005)
The foundation of the New Keynesian Phillips curve (NKPC) is a model of price setting with nominal rigidities that implies that the dynamics of inflation are well explained by the evolution of real marginal costs. In this paper, we analyze whether this is a structurally invariant relationship. We first estimate an unrestricted time-series model for inflation, unit labor costs, and other variables, and present evidence that their joint dynamics are well represented by a vector autoregression (VAR) with drifting coefficients and volatilities. We then apply a two-step minimum distance estimator ...
Staff Reports , Paper 203

Conference Paper
Exchange rate policy and insulation from external shocks: the cases of Korea and Taiwan, 1970-1990
Moreno, Ramon (1992)
Proceedings

Working Paper
Vector-autoregression forecast models for the Third District states
Delaney, Sherry; Mills, Leonard O.; Crone, Theodore M. (1992)
Working Papers , Paper 92-19

Working Paper
Inference for VARs identified with sign restrictions
Lee, Mihye; Schorfheide, Frank; Moon, Hyungsik Roger; Granziera, Eleonara (2011)
There is a fast growing literature that partially identifies structural vector autoregressions (SVARs) by imposing sign restrictions on the responses of a subset of the endogenous variables to a particular structural shock (sign-restricted SVARs). To date, the methods that have been used are only justified from a Bayesian perspective. This paper develops methods of constructing error bands for impulse response functions of sign-restricted SVARs that are valid from a frequentist perspective. The authors also provide a comparison of frequentist and Bayesian error bands in the context of an ...
Working Papers , Paper 11-20

Working Paper
Averaging forecasts from VARs with uncertain instabilities
Clark, Todd E.; McCracken, Michael W. (2006)
A body of recent work suggests commonly?used VAR models of output, inflation, and interest rates 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, different observation windows for estimation, (over-) differencing, intercept correction, stochastically time?varying parameters, break dating, discounted least squares, Bayesian shrinkage, and detrending of inflation and interest rates. Although each ...
Research Working Paper , Paper RWP 06-12

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