Dua and Miller (1996) created leading and coincident employment indexes for the state of Connecticut, following Moore’s (1981) work at the national level. The performance of the DuaMiller indexes following the recession of the early 1990s fell short of expectations. This paper performs two tasks. First, it describes the process of revising the Connecticut Coincident and Leading Employment Index...

Vector autoregression (VAR) models are widely used for multivariate time series analysis in macroeconomics, finance, and related fields. Bayesian methods often employed to deal with their dense parameterization, imposing structure on model coefficients via prior information. The optimal choice of the degree informativeness implied by these priors is subject much debate can be approached hierarc...

This Paper describes a procedure for constructing theory restricted prior distributions for BVAR models. The Bayes Factor, which is obtained without any additional computational effort, can be used to assess the plausibility of the restrictions imposed on the VAR parameter vector by competing DSGE models. In other words, it is possible to rank the amount of abstraction implied by each DSGE mode...

This article compares the accuracy of vector autoregressive (VAR), restricted vector autoregressive (RVAR), Bayesian vector autoregressive (BVAR), vector error correction (VEC) and Bayesian vector error correction (BVEC) models in forecasting the exchange rates for ve Central and Eastern European currencies (Czech Koruna, Hungarian Forint, Polish Zloty, Slovak Koruna and Slovenian Tolar) agains...