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

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

Year of publication:	1985
Authors:	Schlegel, Gordon
Published in:	Economic Review. - Federal Reserve Bank of Cleveland. - 1985, Q II, p. 2-12
Publisher:	Federal Reserve Bank of Cleveland
Subject:	Vector autoregression \| Forecasting

Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005707839