IDEAS home Printed from https://ideas.repec.org/p/zbw/bofrdp/rdp1991_004.html
   My bibliography  Save this paper

Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland

Author

Listed:
  • Starck, Christian

Abstract

The aim of this paper is to specify a small econometric model capable of generating adjustment-free, short-run forecasts of key macroeconomic variables on a monthly basis. The aim is carried out using the vector autoregression approach in conjunction with a Bayesian specification procedure. The Bayesian approach to forecasting is reviewed and applied using Finnish data from the 1980s. The out-of-sample forecasting performance of the model is found to be satisfactory.

Suggested Citation

  • Starck, Christian, 1991. "Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland," Bank of Finland Research Discussion Papers 4/1991, Bank of Finland.
  • Handle: RePEc:zbw:bofrdp:rdp1991_004
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/211607/1/bof-rdp1991-004.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Zellner, Arnold, 1985. "Bayesian Econometrics," Econometrica, Econometric Society, vol. 53(2), pages 253-269, March.
    2. Thomas F. Cargill & Steven A. Morus, 1988. "A vector autoregression model of the Nevada economy," Economic Review, Federal Reserve Bank of San Francisco, issue Win, pages 21-32.
    3. Robert B. Litterman, 1984. "Forecasting and policy analysis with Bayesian vector autoregression models," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 8(Fall).
    4. McNees, Stephen K, 1986. "Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 5-15, January.
    5. Victor Zarnowitz, 1986. "The Record and Improvability of Economic Forecasting," NBER Working Papers 2099, National Bureau of Economic Research, Inc.
    6. Leamer, Edward E, 1972. "A Class of Informative Priors and Distributed Lag Analysis," Econometrica, Econometric Society, vol. 40(6), pages 1059-1081, November.
    7. Fair, Ray C & Shiller, Robert J, 1990. "Comparing Information in Forecasts from Econometric Models," American Economic Review, American Economic Association, vol. 80(3), pages 375-389, June.
    8. Litterman, Robert B, 1986. "Forecasting with Bayesian Vector Autoregressions-Five Years of Experience," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(1), pages 25-38, January.
    9. Trevor, R G & Thorp, S J, 1988. "VAR Forecasting Models of the Australian Economy: A Preliminary Analysis," Australian Economic Papers, Wiley Blackwell, vol. 27(0), pages 108-120, Supplemen.
    10. Robert B. Litterman, 1984. "Above-average national growth in 1985 and 1986," Quarterly Review, Federal Reserve Bank of Minneapolis, vol. 8(Fall).
    11. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, vol. 48(1), pages 1-48, January.
    12. Hans Genberg & Michael K. Salemi, 1987. "The Effects of Foreign Shocks on Prices of Swiss Goods and Credit: An Analysis Based on VAR Method," Annals of Economics and Statistics, GENES, issue 6-7, pages 101-124.
    13. repec:adr:anecst:y:1987:i:6-7:p:05 is not listed on IDEAS
    14. Stephen K. McNees, 1990. "Man vs. model? The role of judgment in forecasting," New England Economic Review, Federal Reserve Bank of Boston, issue Jul, pages 41-52.
    15. repec:zbw:bofrdp:1991_002 is not listed on IDEAS
    16. Lucas, Robert Jr, 1976. "Econometric policy evaluation: A critique," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 1(1), pages 19-46, January.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Starck, Christian, 1991. "Specifying a Bayesian vector autoregression for short-run macroeconomic forecasting with an application to Finland," Research Discussion Papers 4/1991, Bank of Finland.
    2. repec:zbw:bofrdp:1991_004 is not listed on IDEAS
    3. Victor Zarnowitz, 1991. "Has Macro-Forecasting Failed?," NBER Working Papers 3867, National Bureau of Economic Research, Inc.
    4. Peter C.B. Phillips, 1992. "Bayes Methods for Trending Multiple Time Series with an Empirical Application to the US Economy," Cowles Foundation Discussion Papers 1025, Cowles Foundation for Research in Economics, Yale University.
    5. Ford, Stephen A., 1986. "A Beginner'S Guide To Vector Autoregression," Staff Papers 13527, University of Minnesota, Department of Applied Economics.
    6. Kim, Jae H., 1999. "Asymptotic and bootstrap prediction regions for vector autoregression," International Journal of Forecasting, Elsevier, vol. 15(4), pages 393-403, October.
    7. Peter C.B. Phillips, 1995. "Automated Forecasts of Asia-Pacific Economic Activity," Cowles Foundation Discussion Papers 1103, Cowles Foundation for Research in Economics, Yale University.
    8. Marco Del Negro & Frank Schorfheide, 2004. "Priors from General Equilibrium Models for VARS," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 45(2), pages 643-673, May.
    9. Robert Litterman, 1987. "The Limits of Counter-Cyclical Monetary Policy: an Analysis Based on Optimal Control Theory and Vector Autoregressions," Annals of Economics and Statistics, GENES, issue 6-7, pages 125-160.
    10. Francisco F. R. Ramos, 1996. "VAR Priors: Success or lack of a decent macroeconomic theory?," Econometrics 9601002, University Library of Munich, Germany.
    11. Yochanan Shachmurove, 2001. "Dynamic Co-movements of Stock Indices: The Emerging Middle Eastern and the United States Markets," Penn CARESS Working Papers ddffc4204cf90a8523fb64134, Penn Economics Department.
    12. Enrique M. Quilis(1), "undated". "Modelos Bvar: Especificación, Estimación E Inferencia," Working Papers 8-02 Classification-JEL :, Instituto de Estudios Fiscales.
    13. Rother, Philipp C., 1998. "European monetary integration and the demand for money," Journal of International Money and Finance, Elsevier, vol. 17(4), pages 691-711, August.
    14. Leeper, Eric M. & Zha, Tao, 2003. "Modest policy interventions," Journal of Monetary Economics, Elsevier, vol. 50(8), pages 1673-1700, November.
    15. Geweke, J. & Joel Horowitz & Pesaran, M.H., 2006. "Econometrics: A Bird’s Eye View," Cambridge Working Papers in Economics 0655, Faculty of Economics, University of Cambridge.
    16. Kim, Kun Ho, 2011. "Density forecasting through disaggregation," International Journal of Forecasting, Elsevier, vol. 27(2), pages 394-412.
    17. Adrian C. Darnell, 1994. "A Dictionary Of Econometrics," Books, Edward Elgar Publishing, number 118.
    18. D. Tutberidze & D. Japaridze, 2017. "Macroeconomic Forecasting Using Bayesian Vector Autoregressive Approach," Вестник Киевского национального университета имени Тараса Шевченко. Экономика., Socionet;Киевский национальный университет имени Тараса Шевченко, vol. 2(191), pages 42-49.
    19. Rangan Gupta & Stephen Miller, 2012. "“Ripple effects” and forecasting home prices in Los Angeles, Las Vegas, and Phoenix," The Annals of Regional Science, Springer;Western Regional Science Association, vol. 48(3), pages 763-782, June.
    20. Das, Sonali & Gupta, Rangan & Kabundi, Alain, 2009. "Could we have predicted the recent downturn in the South African housing market?," Journal of Housing Economics, Elsevier, vol. 18(4), pages 325-335, December.
    21. Aubry, Mathilde & Renou-Maissant, Patricia, 2014. "Semiconductor industry cycles: Explanatory factors and forecasting," Economic Modelling, Elsevier, vol. 39(C), pages 221-231.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:bofrdp:rdp1991_004. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/bofgvfi.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.