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.

This paper examines an agent's choice of forecast method within a standard asset pricing model. To make a conditional forecast, a representative agent may choose one of the following: (1) a rational (or fundamentals-based) forecast that employs knowledge of the stochastic process governing...

This paper examines an agent's choice of forecast method within a standard asset pricing model. To make a conditional forecast, a representative agent may choose one of the following: (1) a rational (or fundamentals-based) forecast that employs knowledge of the stochastic process governing...

This paper derives a general class of intrinsic rational bubble solutions in a standard Lucas-type asset pricing model. I show that the rational bubble component of the price-dividend ratio can evolve as a geometric random walk without drift. The volatility of bubble innovations depends...

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

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.