Clark, Todd E.; McCracken, Michael W. - Federal Reserve Board (Board of Governors of the … - 2007
A body of recent work suggests commonly-used VAR models of output, inflation, and interest rates may be prone to …, discounted least squares, Bayesian shrinkage, and detrending of inflation and interest rates. Although each individual method …, and interest rates, this paper examines the effectiveness of combination in improving VAR forecasts made with real …