Robertson, John C; Tallman, Ellis W - In: Journal of Business & Economic Statistics 19 (2001) 3, pp. 324-30
Federal-funds rate-forecast errors from vector autoregressive (VAR) models used for monetary policy analysis and fitted by ordinary least squares (OLS) are large relative to those from the futures market. Using three different structural VAR models, we show that forecasts based on a shrinkage...