Vector Autoregression Forecasting Models: Recent Developments Applied to the U.S. Hog Market

Michael S. Kaylen

American Journal of Agricultural Economics, 1988, vol. 70, issue 3, 701-712

Abstract: Bayesian estimation and the exclusion of variables are two basic approaches to the improvement of vector autoregression forecasting models. This study presents a method which combines and extends several techniques within the exclusion-of-variables approach. Several quarterly hog market models are estimated and out-of-sample forecasts from 1977 through 1984 are evaluated. The results suggest the proposed method compares favorably to other exclusion-of-variables techniques as well as to the more sophisticated bayesian approaches.

Date: 1988
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Persistent link: https://EconPapers.repec.org/RePEc:oup:ajagec:v:70:y:1988:i:3:p:701-712.

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