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Econometric Reviews

Опубликовано на портале: 05-01-2003
Thomas Doan, Robert B. Litterman, Christopher Sims Econometric Reviews. 1984.  Vol. 3. No. 1. P. 1-100. 
This paper develops a forecasting procedure based on a Bayesian method for estimating vector autoregressions. The procedure is applied to ten macroeconomic variables and is shown to improve out-of-sample forecasts relative to univariate equations. Authors provided uniconditional forecasts as 1982:12 and 1983:3. They also describes how such as this can be used to make conditional projections and to analyze policy alternatives. As an example, they analyzed a Congressional Budget Office forecast made in 1982:12. While no automatic casual interpretations arise from models like ours, they provide a detailed characterization of the dynamic statistical interdependence of a set of economic variable, which may help in evaluating casual hypoteses, without containing any such hypotheses themselves.
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