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Vector Autoregressive Forecasts of Recession and Recovery: Is Less More?

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A look at the pros and cons of VAR models, and consideration of how lag lengths affect out-of-sample forecasts.


Suggested citation: Schlegel, Gordon. “Vector Autoregressive Forecasts of Recession and Recovery: Is Less More?,” Federal Reserve Bank of Cleveland, Economic Review, vol. 21, no. 2, pp. 02-12, 06.01.1985.

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