Vector autoregressions as a tool for forecast evaluations

Roy H. Webb

Economic Review, 1984, vol. 70, issue Jan, 3-11

Abstract: 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 predict the 1981-1982 recession one year before its occurrence.

Keywords: Forecasting (search for similar items in EconPapers)
Date: 1984
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Citations: View citations in EconPapers (8)

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