Vector Autoregression Forecasting Models: Suggested Improvements

Two methods for building vector autoregression forecasting models are proposed. The first allows exclusion of intermediate lags; the second considers •the effects of jointly entering lags from different series into an equation. Live hog market models are developed and out-of-sample forecasting results suggest both methods have merit.


Issue Date:
1986-07
Publication Type:
Conference Paper/ Presentation
DOI and Other Identifiers:
Record Identifier:
https://ageconsearch.umn.edu/record/278167
Language:
English
Total Pages:
15




 Record created 2018-10-12, last modified 2020-10-28

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