7  Forecasting

7.1 Introduction

TODO

7.2 Indicator analysis

TODO

7.3 Autoregressive models

Models:

• Vector autoregression models (VAR)
• Bayesian VAR
• Autoregressive conditional heteroskedasticity (ARCH)
• Autoregressive moving average (ARMA)
• Generalized autoregressive conditional heteroskedasticity (GARCH)
• Autoregressive integrated moving average (ARIMA)

More:

• Davis, J.H., Brandl-Cheng, L., & Khang, K. (2024). Megatrends and the U.S. economy, 1890-2040. ¹
• Koop, G.M. (2013). Forecasting with medium and large Bayesian VARs. ²

¹ Davis, Brandl-Cheng, & Khang (2024).

² Koop (2013).

Davis, J. H., Brandl-Cheng, L., & Khang, K. (2024). Megatrends and the US economy, 1890-2040. https://ssrn.com/abstract=4702028

Koop, G. M. (2013). Forecasting with medium and large Bayesian VARs. Journal of Applied Econometrics, 28, 177–203. https://ssrn.com/abstract=1514412