A nine variable probabilistic macroeconomic forecasting model

Christopher Sims ()

No 14, Discussion Paper / Institute for Empirical Macroeconomics from Federal Reserve Bank of Minneapolis

Abstract: This model extends one originally constructed by Robert Litterman in 1980 and used continuously since then to prepare quarterly forecasts. The current version is 3 variables larger than Litterman’s original model, and it now allows time variation in coefficients, predictable time variation in forecast error variance, and non-normality in disturbances. Despite this elaboration the model in a sense has just 12 parameters free to fit the behavior of 9 variables in 9 equations. The paper reports the model structure and summarizes some aspects of its recent forecasting performance.

Keywords: Forecasting (search for similar items in EconPapers)
Date: Written
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Related works:
Chapter: A Nine-Variable Probabilistic Macroeconomic Forecasting Model (1993)
Working Paper: A Nine Variable Probabilistic Macroeconomic Forecasting Model (1992)
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