A vector error correction forecasting model of the U.S. economy

Richard Anderson (), Dennis Hoffman and Robert Rasche

No 1998-008, Working Papers from Federal Reserve Bank of St. Louis

Abstract: Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies of such time series reinforce the need to specify correctly a model's multivariate stochastic structure. This paper discusses in detail the speciation of a vector error correction forecasting model that is anchored by long-run equilibrium relationships suggested by economic theory. The model includes six variables - the CPI, the implicit price deflator for GDP, real money balances (MI), the federal funds rate, the yield on long-term (10-year) government bonds, and real GDP - and four cointegrating vectors. Model forecasts during the 1990's are compared to those made by the Federal Reserve and by private forecasters.

Keywords: Forecasting; Econometric models (search for similar items in EconPapers)
Date: 2001
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Citations: View citations in EconPapers (8)

Published in Journal of Macroeconomics, December 2002, 24(4), pp. 569-98

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Related works:
Journal Article: Reply to the comments on 'A vector error-correction forecasting model of the U.S. economy' (2002)
Working Paper: STLS/US-VECM6.1: a vector error-correction forecasting model of the U. S. economy (1997)
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