Sian Vector Error Corrections Model of the U.s. Economy
نویسنده
چکیده
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, I specify the baseline model as a Bayesian VEC. I document the model’s forecasting ability over various periods, examine its impulse responses, and consider several reasonable alternative specifications. Based on a root-mean-square-error criterion, the baseline model works best, and I conclude that this model holds promise as a workhorse forecasting tool. 3
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