Proceedings of the New York State Economics Association


Forecasting the New York State Economy with "Terraced" VARs and Coincident Indices

Eric Doviak and Sean MacDonald

vol. 2, October 2009, p. 3-21


This paper introduces "Terraced" Vector Autoregressive (VAR) models, an innovative twist on traditional VAR modeling, which allows the econometrician to simultaneously forecast both exogenous and endogenous variables and the confidence intervals around those forecasts. In an application of our Terraced VAR framework, we have estimated coincident indices of economic activity for the United States, New York State and the six largest metropolitan areas of New York State and incorporated them into Terraced VARs, which forecast the unemployment rate, total non-farm employment, real wages and average hours worked in manufacturing in those regions.


suggested citation:

Eric Doviak and Sean MacDonald. "Forecasting the New York State Economy with 'Terraced' VARs and Coincident Indices." Proceedings of the New York State Economics Association. vol. 2, October 2009, p. 3-21

BibTeX entry    download