A Bayesian vector error corrections model of the U.S. economy

Tom Stark

No 98-12, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: This paper presents a small-scale macroeconometric time-series model that can be used to generate short-term forecasts for U.S. output, inflation, and the rate of unemployment. Drawing on both the Bayesian VAR and vector error corrections (VEC) literature, the author specifies the baseline model as a Bayesian VEC. The author documents the model's forecasting ability over various periods, examines its impulse responses, and considers several reasonable alternative specifications. Based on a root-mean-square-error criterion, the baseline model works best, and the author concludes that this model holds promise as a workhorse forecasting tool.

Keywords: Forecasting; time series analysis (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (9)

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