RDP 8802: Var Forecasting Models of the Australian Economy: A Preliminary Analysis References
January 1988
- Download the Paper 787KB
Dixon, P.B. and D. McDonald (1986), “The Australian Economy in 1985–86 and 1986–87”, The Australian Economic Review 2nd Quarter, pp3–21.
Doan, T., R.B. Litterman and C.A. Sims (1984) “Forecasting and Conditional Projection Using Realistic Prior Distributions” Econometric Reviews 3, pp1–100.
Engle, R.F. and G.W.J. Granger (1987), “Cointegration and Error-Correction Representation, Estimation and Testing”, Econometrics 55 pp 251–276.
Fernandez-Macho, F.J., A.C. Harvey and J.H. Stock (1986) “Forecasting and Interpolation using Vector Autoregression with Common Trends”. Paper presented to 1986 meeting of Australasian Econometric Society.
Flavin, M.A. (1981) “The Adjustment of Consumption to Changing Expectation about Future Income”, Journal of Political Economy 89, pp974–1009.
Hall, R.E. (1978) “Stochastic Implications of the Life Cycle – Permanent Income Hypothesis: Theory and Evidence”, Journal of Political Economy 86, pp971–81.
Harvey, A.C, S.G.B. Henry, S. Peters and S. Wren-Lewis (1986), “Stochastic Trends in Dynamic Regression Models: An Application to the Employment-Ouput Equation”, The Economic Journal, 96, pp 975–985.
Hendry, D.F. (1986) “Econometric Modelling with Co-integrated Variables: An Overview”, Oxford Bulletin of Economics and Statistics 48, pp201–212.
Johnson, P. (1983) “Life-Cycle Consumption under Rational Expectations: Some Australian Evidence” Economic Record 59, December, pp 345–350.
Litterman, R.B. (1986a) “A Statistical Approach to Economic Forecasting”, Journal of Business and Economic Statistics, January, Vol. 4, No. 1 pp 25–38.
Litterman, R.B. (1986b) “Forecasting with Bayesian Vector Autoregressions – Five Years of Experience”, Journal of Business and Economic Statistics Vol.4, no.1, pp25–38.
McCrann, T. (1986), “Outlook is a Worry in Longer Term”, The Age, Thursday 2 January, ppl5–16.
McNees, S.K. (1986) “Forecasting Accuracy of Alternative Techniques: A Comparison of U.S. Macroeconomic Forecasts”, Journal of Business and Economic Statistics, January Vol. 4, No. 1, pp 5–15.
Meese, R.A. and K.J. Rogoff (1983), “Empirical Exchange Rate Models of the Seventies: Do they fit out of sample?”, Journal of International Economics, 14.
Murphy, C.W. (1987), “An Overview of the Murphy Model”, paper presented to ANU Conference on Macroeconomic Modelling.
Nelson, C.R. and C.I. Plosser (1982), “Trends and Random Walks in Macroeconomic Time Series”, Journal of Monetary Economics 10, pp 139–162.
Ries, I. (1986) “Less Could be More for a Healthy Australian Economy” Business Review Weekly, 11 April pp 88–95.
Simes, R.M. (1987), “Macro-Economic Model Evaluation, With Special Reference to the NIF88 Model”, paper presented to ANU Conference on Macroeconomic Modelling.
Stock, J.H. and M.W. Watson (1986) “Testing for Common Trends”, Harvard Institute of Economic Research Discussion Paper no. 1222.
Stock, J.H. and M.W. Watson (1987) “Interpreting the Evidence of Money-Income Causality”, NBER Working Paper Series No. 2228.
Theil, H. (1971) Principles of Econometrics John Wiley and Sons.
Trevor, R.G. and S.G. Donald (1986) “Exchange Rate Regimes and the Volatility of Financial Prices: The Australian Case”, Reserve Bank of Australia, Research Discussion Paper no. 8608.
Watson, M.W. (1986) “Univariate Detrending Methods with Stochastic Trends”, Journal of Monetary Economics 18, pp49–75.