This paper uses vector error correction models of Switzerland for forecasting output, inflation and the short-term interest rate. It considers three different ways of dealing with forecast uncertainties. First, it investigates the effect on forecasting performance of averaging over forecasts...

This paper applies the modelling strategy of Garratt, Lee, Pesaran and Shin (2003) to the estimation of a structural cointegrated VAR model that relates the core macroeconomic variables of the Swiss economy to current and lagged values of a number of key foreign variables. We identify and test a...

This paper derives new theoretical results for forecasting with Global VAR (GVAR) models. It is shown that the presence of a strong unobserved common factor can lead to an undetermined GVAR model. To solve this problem, we propose augmenting the GVAR with additional proxy equations for the...

This paper develops an econometric model for the analysis of exploration and production policies of "price-taking" suppliers, and derives theoretically consistent exploration and output equations for oil which explicitly take account of the oil discovery process and the intertemporal nature of...

A multisectoral union-firm model of wage-setting is developed to analyze intersectoral interactions that take place through expectations of outside wage opportunities in the economy as a whole. The technical issues involved in the solution and estimation of models of this type are discussed,...

The authors consider the solution of multivariate linear rational expectations models in the presence of heterogeneous information and social interactions. To overcome the 'infinite regress in expectations' problem that arises in the solution of these models, we assume that agents' expectations...

This paper focuses on whether to use macro or micro equations to predict aggregate variables. The Grunfeld-Griliches prediction criterion is generalized to allow for contemporaneous covariances across the micro equations and for parametric restrictions on the disaggregate equations. An...