Model | Max lags | GDP | RPCE | GDPDEF | INVEST | WAGE | PROD | FEDFUNDS | PROFIT | M2 |
Benchmark | mean | 0.378 | 0.156 | 0.066 | 3.502 | 0.131 | 0.334 | 0.381 | 46.104 | 1.625 |
VAR | 1 | 0.338 | 0.155 | 0.075 | 3.150 | 0.133 | 0.358 | 0.384 | 43.059 | 1.608 |
My Method (h = 1) | 1 | 0.335 | 0.153 | 0.067 | 3.119 | 0.133 | 0.353 | 0.376 | 43.414 | 1.614 |
(min) |
| 0.335 | 0.151 | 0.063 | 3.119 | 0.103 | 0.311 | 0.370 | 43.414 | 1.072 |
(h = 1) | 2 | 0.337 | 0.155 | 0.067 | 3.136 | 0.132 | 0.355 | 0.373 | 42.662 | 1.622 |
(min) |
| 0.337 | 0.154 | 0.067 | 2.878 | 0.106 | 0.326 | 0.358 | 40.891 | 1.293 |
(h = 1) | 3 | 0.337 | 0.155 | 0.067 | 3.136 | 0.132 | 0.355 | 0.373 | 41.794 | 1.622 |
(min) |
| 0.337 | 0.151 | 0.063 | 2.423 | 0.103 | 0.311 | 0.370 | 41.794 | 1.403 |
(h = 1) | 4 | 0.337 | 0.155 | 0.067 | 3.136 | 0.132 | 0.355 | 0.373 | 41.794 | 1.622 |
(min) |
| 0.337 | 0.151 | 0.063 | 2.423 | 0.103 | 0.311 | 0.368 | 41.794 | 1.514 |
(h = 1) | 5 | 0.310 | 0.143 | 0.068 | 2.774 | 0.151 | 0.343 | 0.394 | 45.940 | 1.716 |
(min) |
| 0.310 | 0.143 | 0.067 | 2.407 | 0.111 | 0.326 | 0.356 | 40.083 | 1.456 |
(h = 1) | 6 | 0.310 | 0.143 | 0.068 | 2.774 | 0.151 | 0.343 | 0.394 | 52.262 | 1.716 |
(min) |
| 0.310 | 0.143 | 0.067 | 2.565 | 0.137 | 0.326 | 0.393 | 40.842 | 0.934 |