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.


