Erica Leigh Reisman

Government of the United States of America - Division of International Finance (IFDP)

20th St. and Constitution Ave.

Washington, DC 20551

United States

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Scholarly Papers (1)

1.

Evaluating a Global Vector Autoregression for Forecasting

FRB International Finance Discussion Paper No. 1056
Number of pages: 27 Posted: 06 Dec 2012
Neil R. Ericsson and Erica Leigh Reisman
Board of Governors of the Federal Reserve - Division of International Finance (IFDP) - Trade and Financial Studies Section and Government of the United States of America - Division of International Finance (IFDP)
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Abstract:

Cointegration, error correction, forecasting, GVAR, impulse indicator saturation, model design, model evaluation, model selection, parameter constancy, VAR