A use of index models in macroeconomic forecasting
By: Robert B. Litterman.
Series: Federal Reserve Bank of Minneapolis, Research Department staff report -- 78; Staff report (Federal Reserve Bank of Minneapolis. Research Dept. : Online) -- 78.
Publisher: Federal Reserve Bank of Minneapolis
Published: 1982
Place of publication: [Minneapolis, Minn.]
Language: eng
Format: Electronic resource
Subjects: Economic forecasting.
Description: "This paper illustrates the application of observable index models to the problem of macroeconomic forecasting. In this context, a Bayesian prior is used to describe a class of models which impose the index structure with more or less weight. An out-of-sample forecasting experiment is used to measure the possible benefits of this approach. In addition, impulse response functions and the decomposition of forecast variance are analyzed to suggest a possible separation of real and nominal shocks into separate channels"--Federal Reserve Bank of Minneapolis web site.
Notes: Title from PDF file as viewed on 10/19/2007.

Includes bibliographical references.

Also available in print.

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Mode of access: World Wide Web.