Publications and Research

Document Type

Article

Publication Date

Fall 2010

Abstract

This paper introduces “Terraced” Vector Autoregressive (VAR) models, an innovative twist on traditional VAR modeling, which allows the econometrician to simultaneously forecast both exogenous and endogenous variables and the confidence intervals around those forecasts. In an application of our Terraced VAR framework, we have estimated coincident indices of economic activity for the United States, New York State and the six largest metropolitan areas of New York State and incorporated them into Terraced VARs, which forecast the unemployment rate, total non-farm employment, real wages and average hours worked in manufacturing in those regions.

Comments

This work was originally published in New York Economic Review.

Share

COinS
 
 

To view the content in your browser, please download Adobe Reader or, alternately,
you may Download the file to your hard drive.

NOTE: The latest versions of Adobe Reader do not support viewing PDF files within Firefox on Mac OS and if you are using a modern (Intel) Mac, there is no official plugin for viewing PDF files within the browser window.