The paper compares one-period ahead forecasting performance of linear vector-autoregressive (VAR) models and single … single-equation MS models tend to perform slightly better than linear VAR models when no leading information is available … than linear VAR models. …

-used probit approach, but the dynamics of regressors are endogenized using a VAR. The combined model is called a ‘ProbVAR’. At any … short-term interest rate, stock returns or corporate bond spreads. The forecasting performance is very good for the United …

This paper evaluates the usefulness of business sentiment indicators for forecasting developments in the Chinese real … economy. We use data on diffusion indices collected by the People's Bank of China for forecasting industrial production … sector variable, generally outperform univariate autoregressive models in forecasting one to four quarters ahead. Similarly …

several sophisticated and established approaches and can be regarded as a periodic VAR-TARCH with wind power, solar power, and …

introducing the VAR approach to econometrics and macroeconomic modelling. Sims' main contribution to empirical macroeconomics was … to show how macro-econometric modeling should be revised so as to meet the Lucas Critique test. The VAR approach did not …