|
|||||
|
|
Comment |
||
| Authors: | Bruce M. Hill | |
| Affiliation: | Department of Statistics , University of Michigan , Ann Arbor , Ml , 48109-1027 | |
| Abstract: | Using postwar annual data through 1987 from 46 countries, we confirm our earlier finding that the maximum impact (χ) of monetary shocks on real output is negatively correlated across countries with the variance of such shocks (σ ![/></span>) [the Lucas proposition (LP)]. This holds whether the time series specification for each country is the one we reported in Kormendi and Meguire (1984) (KM), one selected by a Bayesian pretest (BPT) suggested by Poirier's results, or a uniform specification that nests both. Using the LP to restrict the coefficients of monetary shocks in the real output equation significantly improves forecasts of real output growth over the period 1978–1987. Over the same period, predictions of money and real output growth made from the BPT specifications often do not outperform comparable predictions made from the KM specifications.</td>
</tr>
<tr>
<td align=](/na101/home/literatum/publisher/tandf/journals/content/ubes20/1991/ubes20.v009.i02/07350015.1991.10509838/production/images/medium/ubes_a_10509838_o_uf0001.gif){kind=small} | |
| Keywords: | Bayesian econometrics Forecasting Monetary policy Prediction Rational expectations Specification uncertainty | |