This paper addresses this gap by introducing a Python package, macroframe-forecast ... We demonstrate the package’s functionality with two examples about forecasting US GDP and fiscal variables.

George Athanasopoulos, Farshid Vahid, VARMA versus VAR for Macroeconomic Forecasting, Journal of Business & Economic Statistics, Vol. 26, No. 2 (Apr., 2008), pp. 237-252 ...

We carry out an ex post assessment of popular models used to forecast oil prices and propose a host of alternative VAR models based on traditional global macroeconomic and oil market aggregates. While ...

Previous forecasting methods for qualitative variables, in contrast, produce only static forecasts. I apply the Qual VAR to forecasting the 2001 business recession out of sample and to analyzing the ...