Projecting Policy Effects with Statistical Models

Authors

  • Christopher Sims Department of Economics, University of Minnesota image/svg+xml

Keywords:

forecasting, policy analysis, statistical models, quantitative modeling, stochastic optimization, identification

Abstract

This paper attempts to briefly discuss the current frontiers in quantitative modeling for forecasting and policy analysis. It does so by summarizing some recent developments in three areas: reduced form forecasting models; theoretical models including elements of stochastic optimization; and identification. In the process, the paper tries to provide some remarks on the direction we seem to be headed.

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References

Bernanke, B. (1986). Alternative explanations of the money-income correlation. Carnegie-Rochester Conference Series on Public Policy, 25, 49–99. https://doi.org/10.1016/0167-2231(86)90037-0

Blanchard, O., & Watson, M. (1986). Are business cycles all alike? In R. J. Gordon (Ed.), The American business cycle: Continuity and change (pp. 123–180). University of Chicago Press for the National Bureau of Economic Research.

Doan, T., Litterman, R. F., & Sims, C. A. (1984). Forecasting and conditional projection using realistic prior distributions. Econometric Reviews, 3(1), 1–100. https://doi.org/10.1080/07474938408800053

Kydland, F. E., & Prescott, E. C. (1982). Time to build and aggregate fluctuations. Econometrica, 50(6), 1345–1370. https://doi.org/10.2307/1913386

Litterman, R. F. (1986). Forecasting with Bayesian vector autoregressions: Five years of experience. Journal of Business & Economic Statistics, 4(1), 25–38. https://doi.org/10.2307/1391384

Sims, C. A. (1982). Scientific standards in econometric modeling. In M. Hazewinkel & A. H. G. Rinnooy Kan (Eds.), Current developments in the interface: Economics, econometrics, mathematics (pp. 317–337). D. Reidel. https://doi.org/10.1007/978-94-009-7933-8_28

Sims, C. A. (1986). Are forecasting models usable for policy analysis? Federal Reserve Bank of Minneapolis Quarterly Review, 10(1), 2–16.

Sims, C. A. (1988). A nine-variable forecasting model of the U.S. (Discussion Paper). Institute for Empirical Macroeconomics, University of Minnesota and Federal Reserve Bank of Minneapolis.

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Published

1988-10-31

How to Cite

Sims, C. (1988). Projecting Policy Effects with Statistical Models. Economic Analysis Review, 3(2), 3–19. Retrieved from https://www.rae-ear.org/index.php/rae/article/view/283

Issue

Vol. 3 No. 2 (1988)

Section

Articles

License

Copyright (c) 1988 Christopher Sims

Creative Commons License

This work is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.

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