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Bayesian long-run prediction in time series models

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Author Info

  • Koop, Gary
  • Osiewalski, Jacek
  • Steel, Mark F. J.

Abstract

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File URL: http://www.sciencedirect.com/science/article/B6VC0-4007D8M-8/2/9ef36493ff4db5096acef559c1069af1
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 69 (1995)
Issue (Month): 1 (September)
Pages: 61-80

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Handle: RePEc:eee:econom:v:69:y:1995:i:1:p:61-80

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
  2. Osiewalski, Jacek & Steel, Mark F. J., 1993. "Robust bayesian inference in elliptical regression models," Journal of Econometrics, Elsevier, vol. 57(1-3), pages 345-363.
  3. Uhlig, Harald, 1994. "What Macroeconomists Should Know about Unit Roots: A Bayesian Perspective," Econometric Theory, Cambridge University Press, vol. 10(3-4), pages 645-671, August.
  4. DeJong, David N & Whiteman, Charles H, 1991. "The Temporal Stability of Dividends and Stock Prices: Evidence from the Likelihood Function," American Economic Review, American Economic Association, vol. 81(3), pages 600-617, June.
  5. Phillips, P C B, 1991. "To Criticize the Critics: An Objective Bayesian Analysis of Stochastic Trends," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 333-64, Oct.-Dec..
  6. Fuller, Wayne A. & Hasza, David P., 1980. "Predictors for the first-order autoregressive process," Journal of Econometrics, Elsevier, vol. 13(2), pages 139-157, June.
  7. Dreze, Jacques H., 1977. "Bayesian regression analysis using poly-t densities," Journal of Econometrics, Elsevier, vol. 6(3), pages 329-354, November.
  8. Thompson, Patrick A & Miller, Robert B, 1986. "Sampling the Future: A Bayesian Approach to Forecasting from Univariate Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 427-36, October.
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Citations

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Cited by:
  1. Koop, Gary & Pesaran, M. Hashem & Potter, Simon M., 1996. "Impulse response analysis in nonlinear multivariate models," Journal of Econometrics, Elsevier, vol. 74(1), pages 119-147, September.
  2. Sylvia Kaufmann & Johann Scharler, 2013. "Bank-Lending Standards, Loan Growth and the Business Cycle in the Euro Area," Working Papers 2013-34, Faculty of Economics and Statistics, University of Innsbruck.
  3. Billio, Monica & Casarin, Roberto & Ravazzolo, Francesco & van Dijk, Herman K., 2012. "Combination schemes for turning point predictions," The Quarterly Review of Economics and Finance, Elsevier, vol. 52(4), pages 402-412.
  4. repec:onb:oenbwp:y::i:164:b:1 is not listed on IDEAS
  5. Lubrano, Michel, 1995. "Testing for unit roots in a Bayesian framework," Journal of Econometrics, Elsevier, vol. 69(1), pages 81-109, September.

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