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Vector autoregressive forecasts of recession and recovery: is less more?

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  • Gordon Schlegel

Abstract

A look at the pros and cons of VAR models, and consideration of how lag lengths affect out-of-sample forecasts.

Suggested Citation

  • Gordon Schlegel, 1985. "Vector autoregressive forecasts of recession and recovery: is less more?," Economic Review, Federal Reserve Bank of Cleveland, issue Q II, pages 2-12.
    • Handle: RePEc:fip:fedcer:y:1985:i:qii:p:2-12
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    File URL: http://www.clevelandfed.org/Research/Review/1985/85-q2-schlegel.pdf
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    Cited by:

    1. Arturas Sabalionis & Wenbo Wang & Hail Park, 2021. "What affects the price movements in Bitcoin and Ethereum?," Manchester School, University of Manchester, vol. 89(1), pages 102-127, January.
    2. Gediminas Adomavicius & Jesse Bockstedt & Alok Gupta, 2012. "Modeling Supply-Side Dynamics of IT Components, Products, and Infrastructure: An Empirical Analysis Using Vector Autoregression," Information Systems Research, INFORMS, vol. 23(2), pages 397-417, June.

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