An examination of whether one should seasonally adjust data before developing multivariate time series models to provide forecasts.

An argument that variations of extant general-equilibrium monetary models can generate real-time economic forecasts comparable in accuracy to those contained in the Federal Reserve Board's "Greenbook" briefing documents.

A presentation of multivariate time series forecasting in which the data consist of a mixture of quarterly and monthly series. In particular, a monthly series of M1 is used to forecast quarterly GNP.

The premise of this study is that the regional economist can better understand the Ohio economy by studying the properties of important Ohio time series that can be identified and quantified through simple regression methods.

A comparison of the forecasting abilities of univariate ARIMA, multivariate ARIMA, and VAR, and examination of whether series should be differenced before estimating models for forecasting purposes.

The presentation of a method for building a time series regional forecasting model for Texas that requires only ordinary least squares regressions to forecast the variables.

The purpose of this study is to examine the forecasting abilities of the same multivariate autoregressive model estimated using two methods. The first method is the "exact method" used by the SCA System from Scientific Computing Associates. The second method is an approximation method as...

This paper presents a 16-variable Bayesian VAR forecasting model of the U.S. economy for use in a monetary policy setting. The variables that comprise the model are selected not only for their effectiveness in forecasting the primary variables of interest, but also for their relevance to the...

This paper explores the hypothesis that the sources of economic and financial crises differ from noncrisis business cycle fluctuations. We employ Markov-switching Bayesian vector autoregressions (MS-BVARs) to gather evidence about the hypothesis on a long annual U.S. sample running from 1890 to...

This paper examines disclosures by sell-side analysts when their institution has a lending relationship with the firms being covered. Lending-affiliated analysts’ earnings forecasts are found to be more accurate relative to forecasts by other analysts but this differential accuracy manifests...