Any research or policy analysis in economics must be consistent with the time-series properties of observed macroeconomic data. Numerous previous studies reinforce the need to specify correctly a model's multivariate stochastic structure. This paper discusses in detail the specification of a Vector Error Correction forecasting model that is anchored by long-run equilibrium relationships suggested by economic theory. The model includes six variables–the CPI, the GDP price index, real money balances (M1), the federal funds rate, the yield on long-term (10-year) government bonds, and real GDP–and four cointegrating vectors. Forecasts from the model for the 1990s compare favorably to alternatives, including those made by government agencies and private forecasters.